Details about Peter P. Carr
This author is deceased (2022-03-01). Access statistics for papers by Peter P. Carr.
Last updated 2022-06-22. Update your information in the RePEc Author Service.
Short-id: pca1563
Jump to Journal Articles Chapters
Working Papers
2022
- Robust replication of barrier-style claims on price and volatility
Papers, arXiv.org View citations (1)
- Semi-analytical pricing of barrier options in the time-dependent Heston model
Papers, arXiv.org
2021
- Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
Papers, arXiv.org 
See also Journal Article in Mathematical Finance (2021)
2020
- Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Papers, arXiv.org View citations (5)
- Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
Papers, arXiv.org View citations (5)
2019
- A lognormal type stochastic volatility model with quadratic drift
Papers, arXiv.org View citations (3)
- A model-free backward and forward nonlinear PDEs for implied volatility
Papers, arXiv.org
- ADOL - Markovian approximation of rough lognormal model
Papers, arXiv.org View citations (1)
- Pricing Variance Swaps on Time-Changed Markov Processes
Papers, arXiv.org
- Using Machine Learning to Predict Realized Variance
Papers, arXiv.org
2018
- An Expanded Local Variance Gamma model
Papers, arXiv.org View citations (2)
See also Journal Article in Computational Economics (2021)
- Generalizing Geometric Brownian Motion
Papers, arXiv.org
- Geometric Local Variance Gamma model
Papers, arXiv.org
2016
- FX Options in Target Zone
Papers, arXiv.org View citations (1)
See also Journal Article in Quantitative Finance (2017)
- Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Papers, arXiv.org View citations (2)
2014
- Determining Optimal Trading Rules without Backtesting
Papers, arXiv.org View citations (1)
- Local Variance Gamma and Explicit Calibration to Option Prices
Papers, arXiv.org View citations (2)
See also Journal Article in Mathematical Finance (2017)
2013
- On the Hedging of Options On Exploding Exchange Rates
Papers, arXiv.org View citations (6)
See also Journal Article in Finance and Stochastics (2014)
- Why are quadratic normal volatility models analytically tractable?
Papers, arXiv.org View citations (13)
2010
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Papers, arXiv.org View citations (3)
See also Journal Article in Computational Economics (2012)
2004
- Static Hedging of Standard Options
Finance, University Library of Munich, Germany View citations (7)
See also Journal Article in Journal of Financial Econometrics (2014)
- Stochastic Skew in Currency Options
Finance, University Library of Munich, Germany View citations (6)
See also Journal Article in Journal of Financial Economics (2007)
- Variance Risk Premia
Finance, University Library of Munich, Germany View citations (16)
2003
- Bessel processes, the integral of geometric Brownian motion, and Asian options
Papers, arXiv.org View citations (4)
- Stochastic Volatility for Levy Processes
Post-Print, HAL View citations (103)
See also Journal Article in Mathematical Finance (2003)
2002
- The Finite Moment Log Stable Process and Option Pricing
Finance, University Library of Munich, Germany View citations (6)
See also Journal Article in Journal of Finance (2003)
- Time-Changed Levy Processes and Option Pricing
Finance, University Library of Munich, Germany View citations (11)
See also Journal Article in Journal of Financial Economics (2004)
- What Type of Process Underlies Options? A Simple Robust Test
Finance, University Library of Munich, Germany View citations (5)
See also Journal Article in Journal of Finance (2003)
2001
- On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
Papers, arXiv.org View citations (2)
1998
- Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect
Cahiers de recherche, Université Laval - Département d'économique View citations (1)
1996
- Randomization and the American Put
Finance, University Library of Munich, Germany View citations (1)
See also Journal Article in Review of Financial Studies (1998)
- Valuing Finite-Lived Options as Perpetual
Finance, University Library of Munich, Germany View citations (9)
Journal Articles
2021
- A functional analysis approach to the static replication of European options
Quantitative Finance, 2021, 21, (4), 637-655 View citations (1)
- Additive logistic processes in option pricing
Finance and Stochastics, 2021, 25, (4), 689-724 View citations (1)
- An Expanded Local Variance Gamma Model
Computational Economics, 2021, 57, (4), 949-987 
See also Working Paper (2018)
- Robust replication of volatility and hybrid derivatives on jump diffusions
Mathematical Finance, 2021, 31, (4), 1394-1422 
See also Working Paper (2021)
2020
- Option Profit and Loss Attribution and Pricing: A New Framework
Journal of Finance, 2020, 75, (4), 2271-2316 View citations (1)
- Spiking the Volatility Punch
Applied Mathematical Finance, 2020, 27, (6), 495-520
2018
- Seabirds enhance coral reef productivity and functioning in the absence of invasive rats
Nature, 2018, 559, (7713), 250-253 View citations (2)
2017
- Bounded Brownian Motion
Risks, 2017, 5, (4), 1-11 View citations (10)
- FX options in target zones
Quantitative Finance, 2017, 17, (10), 1477-1486 View citations (6)
See also Working Paper (2016)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
Mathematical Finance, 2017, 27, (1), 151-193 View citations (7)
See also Working Paper (2014)
- Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2119-2156 View citations (12)
2016
- Analyzing volatility risk and risk premium in option contracts: A new theory
Journal of Financial Economics, 2016, 120, (1), 1-20 View citations (18)
- Hedging insurance books
Insurance: Mathematics and Economics, 2016, 70, (C), 364-372 View citations (1)
- Optimal rates from eigenvalues
Finance Research Letters, 2016, 16, (C), 230-238
2014
- First-order calculus and option pricing
Journal of Financial Engineering (JFE), 2014, 01, (01), 1-19 View citations (4)
- Joint modeling of VIX and SPX options at a single and common maturity with risk management applications
IISE Transactions, 2014, 46, (11), 1125-1131 View citations (12)
- On the hedging of options on exploding exchange rates
Finance and Stochastics, 2014, 18, (1), 115-144 View citations (24)
See also Working Paper (2013)
- Static Hedging of Standard Options
Journal of Financial Econometrics, 2014, 12, (1), 3-46 View citations (9)
Also in Journal of Financial Econometrics, 2013, 12, (1), 3-46 (2013) View citations (10)
See also Working Paper (2004)
2013
- Variation and share-weighted variation swaps on time-changed Lévy processes
Finance and Stochastics, 2013, 17, (4), 685-716 View citations (3)
2012
- Factor Models for Option Pricing
Asia-Pacific Financial Markets, 2012, 19, (4), 319-329 View citations (2)
- Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Computational Economics, 2012, 40, (1), 63-104 View citations (7)
See also Working Paper (2010)
- Variance swaps on time-changed Lévy processes
Finance and Stochastics, 2012, 16, (2), 335-355 View citations (22)
2011
- A PDE approach to jump-diffusions
Quantitative Finance, 2011, 11, (1), 33-52
- A Simple Robust Link Between American Puts and Credit Protection
Review of Financial Studies, 2011, 24, (2), 473-505 View citations (19)
- MAXIMUM DRAWDOWN INSURANCE
International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (08), 1195-1230 View citations (11)
- Options on realized variance and convex orders
Quantitative Finance, 2011, 11, (11), 1685-1694
- SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (07), 1091-1111 View citations (3)
2010
- A class of Levy process models with almost exact calibration to both barrier and vanilla FX options
Quantitative Finance, 2010, 10, (10), 1115-1136 View citations (16)
- Hedging variance options on continuous semimartingales
Finance and Stochastics, 2010, 14, (2), 179-207 View citations (32)
- Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Review of Derivatives Research, 2010, 13, (2), 141-176 View citations (30)
- Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Journal of Financial Econometrics, 2010, 8, (4), 409-449 View citations (47)
2009
- Variance Risk Premiums
Review of Financial Studies, 2009, 22, (3), 1311-1341 View citations (340)
Also in Review of Financial Studies, 2009, 22, (3), 1311-1341 (2009) View citations (358)
- Volatility Derivatives
Annual Review of Financial Economics, 2009, 1, (1), 319-339 View citations (68)
2008
- HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (04), 403-414 View citations (4)
- On the qualitative effect of volatility and duration on prices of Asian options
Finance Research Letters, 2008, 5, (3), 162-171 View citations (10)
- Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
Journal of Financial Economics, 2008, 87, (1), 132-156 View citations (67)
2007
- A new approach for option pricing under stochastic volatility
Review of Derivatives Research, 2007, 10, (2), 87-150 View citations (74)
- On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
The European Journal of Finance, 2007, 13, (4), 353-372 View citations (8)
- SELF‐DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance, 2007, 17, (1), 31-57 View citations (23)
- Stochastic skew in currency options
Journal of Financial Economics, 2007, 86, (1), 213-247 View citations (134)
See also Working Paper (2004)
- Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
Journal of Banking & Finance, 2007, 31, (8), 2383-2403 View citations (41)
2006
- A jump to default extended CEV model: an application of Bessel processes
Finance and Stochastics, 2006, 10, (3), 303-330 View citations (85)
2005
- A note on sufficient conditions for no arbitrage
Finance Research Letters, 2005, 2, (3), 125-130 View citations (58)
- Pricing options on realized variance
Finance and Stochastics, 2005, 9, (4), 453-475 View citations (44)
- THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 239-253
2004
- From local volatility to local Levy models
Quantitative Finance, 2004, 4, (5), 581-588 View citations (26)
- Time-changed Levy processes and option pricing
Journal of Financial Economics, 2004, 71, (1), 113-141 View citations (185)
See also Working Paper (2002)
2003
- Stochastic Volatility for Lévy Processes
Mathematical Finance, 2003, 13, (3), 345-382 View citations (114)
See also Working Paper (2003)
- The Finite Moment Log Stable Process and Option Pricing
Journal of Finance, 2003, 58, (2), 753-777 View citations (154)
See also Working Paper (2002)
- What Type of Process Underlies Options? A Simple Robust Test
Journal of Finance, 2003, 58, (6), 2581-2610 View citations (109)
See also Working Paper (2002)
2002
- The Fine Structure of Asset Returns: An Empirical Investigation
The Journal of Business, 2002, 75, (2), 305-332 View citations (426)
2001
- Optimal investment in derivative securities
Finance and Stochastics, 2001, 5, (1), 33-59 View citations (13)
- Optimal positioning in derivative securities
Quantitative Finance, 2001, 1, (1), 19-37 View citations (108)
- Pricing and hedging in incomplete markets
Journal of Financial Economics, 2001, 62, (1), 131-167 View citations (43)
2000
- The Valuation of Executive Stock Options in an Intensity-Based Framework
Review of Finance, 2000, 4, (3), 211-230 View citations (35)
1998
- Randomization and the American Put
Review of Financial Studies, 1998, 11, (3), 597-626 View citations (114)
See also Working Paper (1996)
- The Variance Gamma Process and Option Pricing
Review of Finance, 1998, 2, (1), 79-105 View citations (455)
1995
- Two extensions to barrier option valuation
Applied Mathematical Finance, 1995, 2, (3), 173-209 View citations (21)
1992
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance, 1992, 2, (2), 87-106 View citations (135)
See also Chapter (2008)
1990
- The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value
Review of Financial Studies, 1990, 3, (3), 469-92 View citations (21)
See also Chapter (2008)
1987
- A Note on the Pricing of Commodity-Linked Bonds
Journal of Finance, 1987, 42, (4), 1071-76 View citations (7)
Chapters
2008
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 
See also Journal Article in Mathematical Finance (1992)
- The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value
Chapter 4 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 61-84 
See also Journal Article in Review of Financial Studies (1990)
2002
- AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS
Chapter 5 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), 2002, pp 110-130
2001
- DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE
Chapter 6 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 163-191
- SIMULATING BERMUDAN INTEREST RATE DERIVATIVES
Chapter 11 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 295-316
1999
- STATIC HEDGING OF EXOTIC OPTIONS
Chapter 5 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 152-176
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