Spanning and Derivative-Security Valuation

By Gurdip Bakshi, Dilip B. Madan. 2000

776 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/4320f12347d734c87b0c47d3027d84be70db0cdc

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Citations in the corpus

Stochastic Volatility for Lévy Processes (2003, positive): “ 3 Clustering Time or Activity Persistence”
Hedging volatility risk (2006, neutral): “In principle it should be possible to derive the joint characteristic function for the non-zero correlation using the Fourier methods given in Bakshi and Madan (2000). The joint density will be written as a double inverse Fourier transformation.”
A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001, neutral): “Bakshi and Madan (2000), although not working directly on Lévy processes, derive an applicable 'Black-Scholes-style' formula for call options using characteristic functions and some more complicated formulas for general claims.”
Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals (2017, neutral): “Bakshi and Madan (2006), for example, study the determination of volatility spreads (which is our variance premium expressed as a percent of the physical variance) in a dynamic economy with general preferences that however only depend on the stock market return.”
The implied volatility smirk (2008, methodology): “The left-hand side of formula (6) depends only on the implied volatility level, slope and curvature, while the right-hand side depends only on the risk-neutral standard deviation, skewness and excess kurtosis.”
The Skew Risk Premium in the Equity Index Market (2013, neutral): “The fixed leg of the g -swap is, from the Bakshi and Madan (2000) formula”
Returns of claims on the upside and the viability of U-shaped pricing kernels (2010, neutral): “Specifically, the model-generated monthly risk-neutral volatility is akin to that reported in Jiang and Tian (2005), Bakshi and Madan (2006), Carr and Wu (2009), and Chernov (2007).”
Option pricing when correlations are stochastic: an analytical framework (2007, positive): “ Bakshi and Madan 2000; Duffie et al. 2000; Carr and Madan 1999) it can be expressed in terms of the inverse Fourier transform of the payoff function and the characteristic function of the asset returns.”
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001, neutral): “Since our intent is to frugally represent the risk-neutral distribution (or some feature thereof) in terms of traded option prices, it is only convenient to adopt the setting outlined in Bakshi and Madan (2000).”
Asset Pricing under the Quadratic Class (2002, methodology): “The first transform is similar in nature to the transform defined in Bakshi and Madan (2000) and Duffie, Pan, and Singleton (2000).”
Credit risk modeling with affine processes (2007, background): “Among analyses of option pricing for the case of affine state variables are Bates [1997], Bakshi, Cao, and Chen [1997], Bakshi and Madan [2000], Duffie, Pan, and Singleton [2000], and Scott [1997].”
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation (2000, background): “In particular, Bakshi and Madan (2000) and Du$e et al. (1998) discuss a general framework of jump-di!usions of the a$ne class which yields analytical option pricing formulas.”
Short-Term Market Risks Implied by Weekly Options (2017, neutral): “Second, we test the quality of the approximation methods for the two-factor stochastic volatility model of Bates (2000).”
Ex Ante Skewness and Expected Stock Returns (2013, neutral): “To estimate the higher moments of the (risk-neutral) density function of individual securities, we use the results in Bakshi and Madan (2000) and Bakshi, Kapadia, and Madan (2003).”
Time Changes for Lévy Processes (2001, methodology): “Characteristic Functions for Price Processes Based on Brownian Excursions For the statistical evaluation and identification of price processes from data on prices of financial assets including options, the characteristic function of the log price relative is a useful and fundamental construct as not”
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, neutral): “( R u t [r(s) + h(s)]ds,h(u),w(u), log(B(u,T ))), with density q(ν) (see Bakshi and Madan (2000) and Duffie, Pan, and Singleton (2000)):”