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Capital requirements, acceptable risks and profits

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  • Dilip Madan

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  • Dilip Madan, 2009. "Capital requirements, acceptable risks and profits," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 767-773.
    • Handle: RePEc:taf:quantf:v:9:y:2009:i:7:p:767-773
    DOI: 10.1080/14697680903314456
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    References listed on IDEAS

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    1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
    2. Madan, Dilip B., 2004. "Monitored financial equilibria," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2213-2235, September.
    3. T. R. Hurd & Zhuowei Zhou, 2009. "A Fourier transform method for spread option pricing," Papers 0902.3643, arXiv.org.
    4. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
    5. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    6. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
    7. K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 31(2), pages 91-96.
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    Cited by:

    1. Ernst Eberlein & Dilip Madan & Martijn Pistorius & Wim Schoutens & Marc Yor, 2014. "Two price economies in continuous time," Annals of Finance, Springer, vol. 10(1), pages 71-100, February.
    2. Caldana, Ruggero & Fusai, Gianluca, 2013. "A general closed-form spread option pricing formula," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4893-4906.

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