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Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10012626539

The structure of financial returns

Madan, Dilip B.; Wang, King - In: Finance research letters 40 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012818876

Nonrandom price movements

Madan, Dilip B.; Wang, King - In: Finance research letters 17 (2016), pp. 103-109

Persistent link: https://www.econbiz.de/10011596246

Measuring dependence in a set of asset returns

Madan, Dilip B.; Wang, King - In: Asia Pacific financial markets 30 (2023) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10014342359

The valuation of corporations : a derivative pricing perspective

Madan, Dilip B.; Wang, King - In: Annals of finance 19 (2023) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10014253867

Risk neutral jump arrival rates implied in option prices and their models

Madan, Dilip B.; Wang, King - In: Applied mathematical finance 28 (2021) 3, pp. 201-235

Persistent link: https://www.econbiz.de/10013171070

Acceptability bounds for forward starting options using disciplined convex programming

Madan, Dilip B.; Wang, King - In: Journal of risk 19 (2016) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10013177069

Option surface statistics with applications

Madan, Dilip B.; Wang, King - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-16

Persistent link: https://www.econbiz.de/10014235076

The economics of time as it is embedded in the prices of options§

Madan, Dilip B.; Wang, King - In: Quantitative finance 23 (2023) 4, pp. 579-593

Persistent link: https://www.econbiz.de/10014304273

Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013367492

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