Peter P. Carr
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- Volatility Derivatives (RePEc:anr:refeco:v:1:y:2009:p:319-339)
by Peter Carr & Roger Lee - Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models (RePEc:arx:papers:1002.1995)
by Andrey Itkin & Peter Carr - Why are quadratic normal volatility models analytically tractable? (RePEc:arx:papers:1202.6187)
by Peter Carr & Travis Fisher & Johannes Ruf - On the Hedging of Options On Exploding Exchange Rates (RePEc:arx:papers:1202.6188)
by Peter Carr & Travis Fisher & Johannes Ruf - Local Variance Gamma and Explicit Calibration to Option Prices (RePEc:arx:papers:1308.2326)
by Peter Carr & Sergey Nadtochiy - Determining Optimal Trading Rules without Backtesting (RePEc:arx:papers:1408.1159)
by Peter P. Carr & Marcos Lopez de Prado - Robust replication of barrier-style claims on price and volatility (RePEc:arx:papers:1508.00632)
by Peter Carr & Roger Lee & Matthew Lorig - Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer (RePEc:arx:papers:1508.06182)
by Gili Rosenberg & Poya Haghnegahdar & Phil Goddard & Peter Carr & Kesheng Wu & Marcos L'opez de Prado - FX Options in Target Zone (RePEc:arx:papers:1512.01527)
by Peter Carr & Zura Kakushadze - Pricing Variance Swaps on Time-Changed Markov Processes (RePEc:arx:papers:1705.01069)
by Peter Carr & Roger Lee & Matthew Lorig - An Expanded Local Variance Gamma model (RePEc:arx:papers:1802.09611)
by Peter Carr & Andrey Itkin - Generalizing Geometric Brownian Motion (RePEc:arx:papers:1809.02245)
by Peter Carr & Zhibai Zhang - Geometric Local Variance Gamma model (RePEc:arx:papers:1809.07727)
by Peter Carr & Andrey Itkin - ADOL - Markovian approximation of rough lognormal model (RePEc:arx:papers:1904.09240)
by Peter Carr & Andrey Itkin - A model-free backward and forward nonlinear PDEs for implied volatility (RePEc:arx:papers:1907.07305)
by Peter Carr & Andrey Itkin & Sasha Stoikov - A lognormal type stochastic volatility model with quadratic drift (RePEc:arx:papers:1908.07417)
by Peter Carr & Sander Willems - Using Machine Learning to Predict Realized Variance (RePEc:arx:papers:1909.10035)
by Peter Carr & Liuren Wu & Zhibai Zhang - Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process (RePEc:arx:papers:2003.08853)
by Peter Carr & Andrey Itkin - Semi-closed form prices of barrier options in the time-dependent CEV and CIR models (RePEc:arx:papers:2005.05459)
by Peter Carr & Andrey Itkin & Dmitry Muravey - Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions (RePEc:arx:papers:2107.00554)
by Peter Carr & Roger Lee & Matthew Lorig - Semi-analytical pricing of barrier options in the time-dependent Heston model (RePEc:arx:papers:2202.06177)
by P. Carr & A. Itkin & D. Muravey - On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited (RePEc:arx:papers:math/0102080)
by Peter Carr & Michael Schroder - Bessel processes, the integral of geometric Brownian motion, and Asian options (RePEc:arx:papers:math/0311280)
by M. Schroder & P. Carr - A Note on the Pricing of Commodity-Linked Bonds (RePEc:bla:jfinan:v:42:y:1987:i:4:p:1071-76)
by Carr, Peter - The Valuation of Sequential Exchange Opportunities (RePEc:bla:jfinan:v:43:y:1988:i:5:p:1235-56)
by Carr, Peter P - Static Hedging of Exotic Options (RePEc:bla:jfinan:v:53:y:1998:i:3:p:1165-1190)
by Peter Carr & Katrina Ellis & Vishal Gupta - The Finite Moment Log Stable Process and Option Pricing (RePEc:bla:jfinan:v:58:y:2003:i:2:p:753-777)
by Peter Carr & Liuren Wu - The Finite Moment Log Stable Process and Option Pricing (RePEc:bla:jfinan:v:58:y:2003:i:2:p:753-778)
by Peter Carr & Liuren Wu - What Type of Process Underlies Options? A Simple Robust Test (RePEc:bla:jfinan:v:58:y:2003:i:6:p:2581-2610)
by Peter Carr & Liuren Wu - Option Profit and Loss Attribution and Pricing: A New Framework (RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316)
by Peter Carr & Liuren Wu - Stochastic Volatility for Lévy Processes (RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382)
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor - Self‐Decomposability And Option Pricing (RePEc:bla:mathfi:v:17:y:2007:i:1:p:31-57)
by Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor - Alternative Characterizations Of American Put Options (RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106)
by Peter Carr & Robert Jarrow & Ravi Myneni - Local Variance Gamma And Explicit Calibration To Option Prices (RePEc:bla:mathfi:v:27:y:2017:i:1:p:151-193)
by Peter Carr & Sergey Nadtochiy - Robust replication of volatility and hybrid derivatives on jump diffusions (RePEc:bla:mathfi:v:31:y:2021:i:4:p:1394-1422)
by Peter Carr & Roger Lee & Matthew Lorig - Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (RePEc:cup:jfinqa:v:52:y:2017:i:05:p:2119-2156_00)
by Carr, Peter & Wu, Liuren - Vol, Skew, and Smile Trading (RePEc:dar:wpaper:140532)
by Al-Jaaf, Asty & Carr, Peter - Optimal rates from eigenvalues (RePEc:eee:finlet:v:16:y:2016:i:c:p:230-238)
by Carr, Peter & Worah, Pratik - A note on sufficient conditions for no arbitrage (RePEc:eee:finlet:v:2:y:2005:i:3:p:125-130)
by Carr, Peter & Madan, Dilip B. - On the qualitative effect of volatility and duration on prices of Asian options (RePEc:eee:finlet:v:5:y:2008:i:3:p:162-171)
by Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun - Hedging insurance books (RePEc:eee:insuma:v:70:y:2016:i:c:p:364-372)
by Carr, Peter & Madan, Dilip B. & Melamed, Michael & Schoutens, Wim - Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options (RePEc:eee:jbfina:v:31:y:2007:i:8:p:2383-2403)
by Carr, Peter & Wu, Liuren - Analyzing volatility risk and risk premium in option contracts: A new theory (RePEc:eee:jfinec:v:120:y:2016:i:1:p:1-20)
by Carr, Peter & Wu, Liuren - Pricing and hedging in incomplete markets (RePEc:eee:jfinec:v:62:y:2001:i:1:p:131-167)
by Carr, Peter & Geman, Helyette & Madan, Dilip B. - Time-changed Levy processes and option pricing (RePEc:eee:jfinec:v:71:y:2004:i:1:p:113-141)
by Carr, Peter & Wu, Liuren - Stochastic skew in currency options (RePEc:eee:jfinec:v:86:y:2007:i:1:p:213-247)
by Carr, Peter & Wu, Liuren - Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156)
by Bakshi, Gurdip & Carr, Peter & Wu, Liuren - Bounded Brownian Motion (RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375)
by Peter Carr - Stochastic Volatility for Levy Processes (RePEc:hal:journl:halshs-00144385)
by Helyette Geman & P. Carr & D. Madan & Marc Yor - Unknown item RePEc:igg:jgim00:v:10:y:2002:i:2:p:50-54 (article)
- Factor Models for Option Pricing (RePEc:kap:apfinm:v:19:y:2012:i:4:p:319-329)
by Peter Carr & Dilip Madan - Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models (RePEc:kap:compec:v:40:y:2012:i:1:p:63-104)
by Andrey Itkin & Peter Carr - An Expanded Local Variance Gamma Model (RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10000-w)
by P. Carr & A. Itkin - A new approach for option pricing under stochastic volatility (RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150)
by Peter Carr & Jian Sun - Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case (RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176)
by Andrey Itkin & Peter Carr - Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect (RePEc:lvl:laeccr:9827)
by Saphores, Jean-Daniel M. & Carr, Peter - Seabirds enhance coral reef productivity and functioning in the absence of invasive rats (RePEc:nat:nature:v:559:y:2018:i:7713:d:10.1038_s41586-018-0202-3)
by Nicholas A. J. Graham & Shaun K. Wilson & Peter Carr & Andrew S. Hoey & Simon Jennings & M. Aaron MacNeil - Static Hedging of Standard Options (RePEc:oup:jfinec:v:12:y:2013:i:1:p:3-46)
by Peter Carr & Liuren Wu - Static Hedging of Standard Options (RePEc:oup:jfinec:v:12:y:2014:i:1:p:3-46.)
by Peter Carr & Liuren Wu - Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449)
by Peter Carr & Liuren Wu - The Variance Gamma Process and Option Pricing (RePEc:oup:revfin:v:2:y:1998:i:1:p:79-105.)
by Dilip B. Madan & Peter P. Carr & Eric C. Chang - Decomposing Long Bond Returns: A Decentralized Theory (RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026.)
by Peter Carr & Liuren Wu - The Valuation of Executive Stock Options in an Intensity-Based Framework (RePEc:oup:revfin:v:4:y:2000:i:3:p:211-230.)
by Peter Carr & Vadim Linetsky - Randomization and the American Put (RePEc:oup:rfinst:v:11:y:1998:i:3:p:597-626)
by Carr, Peter - Variance Risk Premiums (RePEc:oup:rfinst:v:22:y:2009:i:3:p:1311-1341)
by Peter Carr & Liuren Wu - Variance Risk Premiums (RePEc:oup:rfinst:v:22:y:2009:i:3:p:1311-1341.)
by Peter Carr & Liuren Wu - A Simple Robust Link Between American Puts and Credit Protection (RePEc:oup:rfinst:v:24:y:2011:i:2:p:473-505)
by Peter Carr & Liuren Wu - The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value (RePEc:oup:rfinst:v:3:y:1990:i:3:p:469-92)
by Carr, Peter P & Jarrow, Robert A - Unknown item RePEc:san:crieff:0803 (paper)
- Convex duality in continuous option pricing models (RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05143-y)
by Peter Carr & Lorenzo Torricelli - A jump to default extended CEV model: an application of Bessel processes (RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330)
by Peter Carr & Vadim Linetsky - Hedging variance options on continuous semimartingales (RePEc:spr:finsto:v:14:y:2010:i:2:p:179-207)
by Peter Carr & Roger Lee - Variance swaps on time-changed Lévy processes (RePEc:spr:finsto:v:16:y:2012:i:2:p:335-355)
by Peter Carr & Roger Lee & Liuren Wu - Variation and share-weighted variation swaps on time-changed Lévy processes (RePEc:spr:finsto:v:17:y:2013:i:4:p:685-716)
by Peter Carr & Roger Lee - On the hedging of options on exploding exchange rates (RePEc:spr:finsto:v:18:y:2014:i:1:p:115-144)
by Peter Carr & Travis Fisher & Johannes Ruf - Additive logistic processes in option pricing (RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00461-8)
by Peter Carr & Lorenzo Torricelli - Optimal investment in derivative securities (RePEc:spr:finsto:v:5:y:2001:i:1:p:33-59)
by Dilip B. Madan & Xing Jin & Peter Carr - Pricing options on realized variance (RePEc:spr:finsto:v:9:y:2005:i:4:p:453-475)
by Peter Carr & Hélyette Geman & Dilip Madan & Marc Yor - Two extensions to barrier option valuation (RePEc:taf:apmtfi:v:2:y:1995:i:3:p:173-209)
by P. Carr - Spiking the Volatility Punch (RePEc:taf:apmtfi:v:27:y:2020:i:6:p:495-520)
by Peter Carr & Gianna Figà-Talamanca - Semi-Robust Replication of Barrier-Style Claims on Price and Volatility (RePEc:taf:apmtfi:v:28:y:2021:i:6:p:534-559)
by Peter Carr & Roger Lee & Matthew Lorig - On the Numerical Evaluation of Option Prices in Jump Diffusion Processes (RePEc:taf:eurjfi:v:13:y:2007:i:4:p:353-372)
by Peter Carr & Anita Mayo - Optimal positioning in derivative securities (RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37)
by P. Carr & D. Madan - A class of Levy process models with almost exact calibration to both barrier and vanilla FX options (RePEc:taf:quantf:v:10:y:2010:i:10:p:1115-1136)
by Peter Carr & John Crosby - A PDE approach to jump-diffusions (RePEc:taf:quantf:v:11:y:2011:i:1:p:33-52)
by Peter Carr & Laurent Cousot - Options on realized variance and convex orders (RePEc:taf:quantf:v:11:y:2011:i:11:p:1685-1694)
by Peter Carr & Helyette Geman & Dilip Madan & Marc Yor - FX options in target zones (RePEc:taf:quantf:v:17:y:2017:i:10:p:1477-1486)
by Peter P. Carr & Zura Kakushadze - A functional analysis approach to the static replication of European options (RePEc:taf:quantf:v:21:y:2021:i:4:p:637-655)
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - Static replication of European standard dispersion options (RePEc:taf:quantf:v:22:y:2022:i:5:p:799-811)
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - From local volatility to local Levy models (RePEc:taf:quantf:v:4:y:2004:i:5:p:581-588)
by Peter Carr & Helyette Geman & Dilip Madan & Marc Yor - Joint modeling of VIX and SPX options at a single and common maturity with risk management applications (RePEc:taf:uiiexx:v:46:y:2014:i:11:p:1125-1131)
by Peter Carr & Dilip B. Madan - The Fine Structure of Asset Returns: An Empirical Investigation (RePEc:ucp:jnlbus:v:75:y:2002:i:2:p:305-332)
by Peter Carr & Helyette Geman - Time-Changed Levy Processes and Option Pricing (RePEc:wpa:wuwpfi:0207011)
by Peter Carr & Liuren Wu - The Finite Moment Log Stable Process and Option Pricing (RePEc:wpa:wuwpfi:0207012)
by Peter Carr & Liuren Wu - What Type of Process Underlies Options? A Simple Robust Test (RePEc:wpa:wuwpfi:0207019)
by Peter Carr & Liuren Wu - Stochastic Skew in Currency Options (RePEc:wpa:wuwpfi:0409014)
by Peter Carr & Liuren Wu - Variance Risk Premia (RePEc:wpa:wuwpfi:0409015)
by Peter Carr & Liuren Wu - Static Hedging of Standard Options (RePEc:wpa:wuwpfi:0409016)
by Peter Carr & Liuren Wu - Valuing Finite-Lived Options as Perpetual (RePEc:wpa:wuwpfi:9607002)
by Peter Carr - Randomization and the American Put (RePEc:wpa:wuwpfi:9610003)
by Peter Carr - The Forward Pde For European Options On Stocks With Fixed Fractional Jumps (RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002974)
by Peter Carr & Alireza Javaheri - Hedging Under The Heston Model With Jump-To-Default (RePEc:wsi:ijtafx:v:11:y:2008:i:04:n:s0219024908004865)
by Peter Carr & Wim Schoutens - Semi-Static Hedging Of Barrier Options Under Poisson Jumps (RePEc:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006668)
by Peter Carr - Maximum Drawdown Insurance (RePEc:wsi:ijtafx:v:14:y:2011:i:08:n:s0219024911006826)
by Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis - First-order calculus and option pricing (RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500093)
by Peter Carr - Probabilistic Interpretation of Black Implied Volatility (RePEc:wsi:wschap:9789811259142_0003)
by P. Carr & L. Wu & Y. Zhang - Option Pricing Generators (RePEc:wsi:wschap:9789811280306_0006)
by Peter Carr & Umberto Cherubini - An Alternative Approach For Valuing Continuous Cash Flows (RePEc:wsi:wschap:9789812778451_0005)
by Peter Carr & Alex Lipton & Dilip Madan - Determining Volatility Surfaces And Option Values From An Implied Volatility Smile (RePEc:wsi:wschap:9789812810663_0006)
by Peter Carr & Dilip Madan - Simulating Bermudan Interest Rate Derivatives (RePEc:wsi:wschap:9789812810663_0011)
by Peter Carr & Guang Yang - Static Hedging Of Exotic Options (RePEc:wsi:wschap:9789812812599_0005)
by Peter Carr & Katrina Ellis & Vishal Gupta - The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value (RePEc:wsi:wschap:9789812819222_0004)
by Peter P. Carr & Robert A. Jarrow - Alternative Characterizations Of American Put Options (RePEc:wsi:wschap:9789812819222_0005)
by Peter Carr & Robert Jarrow & Ravi Myneni