Hedging and pricing early-exercise options with complex fourier series expansion

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies · 2001 · 3.3K citations

Option Pricing, Economics, Computational Finance +15

Option valuation using the fast Fourier transform

Peter Carr, Dilip B. Madan · The Journal of Computational Finance · 1999 · 2.3K citations

Spectral Theory, Option Pricing, Engineering +15

The Variance Gamma Process and Option Pricing

Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations

The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations

Empirical Finance, Economics, Volatility Modeling +11

The Variance Gamma (V.G.) Model for Share Market Returns

Dilip B. Madan, E. Seneta · The Journal of Business · 1990 · 1.6K citations

Volatility Modeling, Engineering, Variance Gamma +16