Madan, D., Roynette, Bernard, Yor, Marc
For a large class of $\mathbb{R}_{+}$ valued, continuous local martingales $(M_{t}\; t \ge 0)$, with $M_{0} =1$ and $M_{\infty} = 0$, the put quantity : $\Pi_{M} (K,t) = E \big((K-M_{t})^{+} \big)$...
Madan, D., Roynette, Bernard, Yor, Marc
For a large class of $\mathbb{R}_{+}$ valued, continuous local martingales $(M_{t}\; t \ge 0)$, with $M_{0} =1$ and $M_{\infty} = 0$, the put quantity : $\Pi_{M} (K,t) = E \big((K-M_{t})^{+} \big)$...
Madan, D., Roynette, Bernard, Yor, Marc
The authors recently discovered some interesting relations between the Black-Scholes formula and last passage times of the Brownian exponential martingales, which invites one to seek analogous...
Madan, D., Roynette, Bernard, Yor, Marc
The authors recently discovered some interesting relations between the Black-Scholes formula and last passage times of the Brownian exponential martingales, which invites one to seek analogous...
From Black-Scholes formula, to local times and last passage times for certain submartingales (2008)
Madan, D., Roynette, Bernard, Yor, Marc
Motivated by an expression of the standard Black-Scholes formula as (a multiple of) the cumulative function of a certain distribution on $\/Bbb R_+$, we discuss a general extension of this identity...
From Black-Scholes formula, to local times and last passage times for certain submartingales (2008)
Madan, D., Roynette, Bernard, Yor, Marc
Motivated by an expression of the standard Black-Scholes formula as (a multiple of) the cumulative function of a certain distribution on $\/Bbb R_+$, we discuss a general extension of this identity...
Madan, D., Roynette, Bernard, Yor, Marc
The celebrated Black-Scholes formula which gives the price of a European option, may be expressed as the cumulative function of a last passage time of Brownian motion. A related result involving...
Madan, D., Roynette, Bernard, Yor, Marc
The celebrated Black-Scholes formula which gives the price of a European option, may be expressed as the cumulative function of a last passage time of Brownian motion. A related result involving...
Option Pricing using Integral Transforms (2003)
Peter Carr, D. Madan, L. Wu, M. Yor
Introduction Call values are often obtained by integrating their payo# against a risk-neutral probability density function. When the characteristic function of the underlying asset is known in closed...
Stochastic Volatility for Levy Processes
Helyette Geman, P. Carr, D. Madan, M. Yor
Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The...
Risks in Return : a pure Jump Perspective
The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced L鶹 markets, written by leading...
Option prices as probabilities
Madan, D., Roynette, B., Yor, Marc
Four distribution functions are associated with call and put prices seen as functions of their strike and maturity. The random variables associated with these distributions are identified when the...
Option pricing, Local times, First passage times, Last passage times,