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10 documents ordered by : Date Title first author name document type Submit date

The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX Yor M., Madan D. Applied Mathematical Finance 18, 3 (2011) 227-244 [hal-00657758 - version 1]

Put option prices as joint distribution functions in strike and maturity: the Black-Scholes case Yor M., Madan D., Roynette B. International Journal of Theoretical and Applied Finance 12, 8 (2009) 1075-1090 [hal-00657742 - version 1]

Put option prices as joint distribution functions in strike and maturity : the Black-Scholes case Madan D., Roynette B., Yor M. 10.1142/S0219024909005580 12 (2009) 1075-1090 [hal-00324636 - version 1]

Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon Madan D., Roynette B., Yor M. [hal-00275490 - version 1]

From Black-Scholes formula, to local times and last passage times for certain submartingales Madan D., Roynette B., Yor M. [hal-00261868 - version 1]

An alternative expression for the Black-Scholes formula in terms of Brownian first and last passage times Madan D., Roynette B., Yor M. [hal-00257403 - version 1]

Representing the CGMY and Meixner Lévy processes as time changed Brownian motions Yor M., Madan D. Journal of Computational Finance 12, 1 (2008) 27-47 [hal-00706655 - version 1]

Option prices as probabilities Yor M., Madan D., Roynette B. Finance Research Letters 5, 2 (2008) 79-87 [hal-00292135 - version 1]

From local volatility to local Lévy models Yor M., Carr P., Geman H., Madan D. Quantitative Finance 4 n.5 (2004) 581-588 [hal-00103051 - version 1]

Stochastic volatility for Lévy processes Yor M., Carr P., Geman H., Madan D. Mathematical Finance 13 n.3 (2003) 345-382 [hal-00103904 - version 1]