Details about Peter P. Carr
This author is deceased (2022-03-01). Access statistics for papers by Peter P. Carr.
Last updated 2023-03-10. Update your information in the RePEc Author Service.
Short-id: pca1563
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Working Papers
2023
- Vol, Skew, and Smile Trading
Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
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 View citations (4)
2021
- Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
Papers, arXiv.org 
See also Journal Article Robust replication of volatility and hybrid derivatives on jump diffusions, Mathematical Finance, Wiley Blackwell (2021) (2021)
2020
- Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Papers, arXiv.org View citations (9)
- 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 (4)
- 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 (4)
- Pricing Variance Swaps on Time-Changed Markov Processes
Papers, arXiv.org
- Using Machine Learning to Predict Realized Variance
Papers, arXiv.org View citations (4)
2018
- An Expanded Local Variance Gamma model
Papers, arXiv.org View citations (2)
See also Journal Article An Expanded Local Variance Gamma Model, Computational Economics, Springer (2021) (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 FX options in target zones, Quantitative Finance, Taylor & Francis Journals (2017) View citations (7) (2017)
- Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
Papers, arXiv.org View citations (8)
2014
- Determining Optimal Trading Rules without Backtesting
Papers, arXiv.org View citations (2)
- Local Variance Gamma and Explicit Calibration to Option Prices
Papers, arXiv.org View citations (7)
See also Journal Article LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES, Mathematical Finance, Wiley Blackwell (2017) View citations (7) (2017)
2013
- On the Hedging of Options On Exploding Exchange Rates
Papers, arXiv.org View citations (9)
See also Journal Article On the hedging of options on exploding exchange rates, Finance and Stochastics, Springer (2014) View citations (30) (2014)
- Why are quadratic normal volatility models analytically tractable?
Papers, arXiv.org View citations (17)
2010
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Papers, arXiv.org View citations (3)
See also Journal Article Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models, Computational Economics, Springer (2012) View citations (11) (2012)
2004
- Static Hedging of Standard Options
Finance, University Library of Munich, Germany View citations (9)
See also Journal Article Static Hedging of Standard Options, Journal of Financial Econometrics, Oxford University Press (2014) View citations (18) (2014)
- Stochastic Skew in Currency Options
Finance, University Library of Munich, Germany View citations (6)
See also Journal Article Stochastic skew in currency options, Journal of Financial Economics, Elsevier (2007) View citations (146) (2007)
- Variance Risk Premia
Finance, University Library of Munich, Germany View citations (21)
2003
- Bessel processes, the integral of geometric Brownian motion, and Asian options
Papers, arXiv.org View citations (12)
- Stochastic Volatility for Levy Processes
Post-Print, HAL View citations (114)
See also Journal Article Stochastic Volatility for Lévy Processes, Mathematical Finance, Wiley Blackwell (2003) View citations (134) (2003)
2002
- The Finite Moment Log Stable Process and Option Pricing
Finance, University Library of Munich, Germany View citations (6)
See also Journal Article The Finite Moment Log Stable Process and Option Pricing, Journal of Finance, American Finance Association (2003) View citations (179) (2003)
- Time-Changed Levy Processes and Option Pricing
Finance, University Library of Munich, Germany View citations (12)
See also Journal Article Time-changed Levy processes and option pricing, Journal of Financial Economics, Elsevier (2004) View citations (222) (2004)
- What Type of Process Underlies Options? A Simple Robust Test
Finance, University Library of Munich, Germany View citations (5)
See also Journal Article What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, American Finance Association (2003) View citations (123) (2003)
2001
- On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
Papers, arXiv.org View citations (3)
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 Randomization and the American Put, The Review of Financial Studies, Society for Financial Studies (1998) View citations (133) (1998)
- Valuing Finite-Lived Options as Perpetual
Finance, University Library of Munich, Germany View citations (10)
Journal Articles
2024
- Convex duality in continuous option pricing models
Annals of Operations Research, 2024, 336, (1), 1013-1037
2023
- Decomposing Long Bond Returns: A Decentralized Theory*
Review of Finance, 2023, 27, (3), 997-1026
2022
- Static replication of European standard dispersion options
Quantitative Finance, 2022, 22, (5), 799-811 View citations (3)
2021
- A functional analysis approach to the static replication of European options
Quantitative Finance, 2021, 21, (4), 637-655 View citations (7)
- Additive logistic processes in option pricing
Finance and Stochastics, 2021, 25, (4), 689-724 View citations (6)
- An Expanded Local Variance Gamma Model
Computational Economics, 2021, 57, (4), 949-987 
See also Working Paper An Expanded Local Variance Gamma model, Papers (2018) View citations (2) (2018)
- Robust replication of volatility and hybrid derivatives on jump diffusions
Mathematical Finance, 2021, 31, (4), 1394-1422 
See also Working Paper Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions, Papers (2021) (2021)
- Semi-Robust Replication of Barrier-Style Claims on Price and Volatility
Applied Mathematical Finance, 2021, 28, (6), 534-559
2020
- Option Profit and Loss Attribution and Pricing: A New Framework
Journal of Finance, 2020, 75, (4), 2271-2316 View citations (10)
- 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 (3)
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 (7)
See also Working Paper FX Options in Target Zone, Papers (2016) View citations (1) (2016)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
Mathematical Finance, 2017, 27, (1), 151-193 View citations (7)
See also Working Paper Local Variance Gamma and Explicit Calibration to Option Prices, Papers (2014) View citations (7) (2014)
- Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2119-2156 View citations (33)
2016
- Analyzing volatility risk and risk premium in option contracts: A new theory
Journal of Financial Economics, 2016, 120, (1), 1-20 View citations (32)
- 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 (13)
- On the hedging of options on exploding exchange rates
Finance and Stochastics, 2014, 18, (1), 115-144 View citations (30)
See also Working Paper On the Hedging of Options On Exploding Exchange Rates, Papers (2013) View citations (9) (2013)
- Static Hedging of Standard Options
Journal of Financial Econometrics, 2014, 12, (1), 3-46 View citations (18)
Also in Journal of Financial Econometrics, 2013, 12, (1), 3-46 (2013) View citations (11)
See also Working Paper Static Hedging of Standard Options, Finance (2004) View citations (9) (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 (11)
See also Working Paper Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models, Papers (2010) View citations (3) (2010)
- Variance swaps on time-changed Lévy processes
Finance and Stochastics, 2012, 16, (2), 335-355 View citations (25)
2011
- A PDE approach to jump-diffusions
Quantitative Finance, 2011, 11, (1), 33-52
- A Simple Robust Link Between American Puts and Credit Protection
The Review of Financial Studies, 2011, 24, (2), 473-505 View citations (35)
- MAXIMUM DRAWDOWN INSURANCE
International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (08), 1195-1230 View citations (25)
- Options on realized variance and convex orders
Quantitative Finance, 2011, 11, (11), 1685-1694 View citations (1)
- SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (07), 1091-1111 View citations (4)
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 (18)
- Hedging variance options on continuous semimartingales
Finance and Stochastics, 2010, 14, (2), 179-207 View citations (37)
- 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 (31)
- Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Journal of Financial Econometrics, 2010, 8, (4), 409-449 View citations (55)
2009
- Variance Risk Premiums
The Review of Financial Studies, 2009, 22, (3), 1311-1341 View citations (417)
Also in The Review of Financial Studies, 2009, 22, (3), 1311-1341 (2009) View citations (428)
- Volatility Derivatives
Annual Review of Financial Economics, 2009, 1, (1), 319-339 View citations (75)
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 (12)
- 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 (77)
2007
- A new approach for option pricing under stochastic volatility
Review of Derivatives Research, 2007, 10, (2), 87-150 View citations (84)
- On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
The European Journal of Finance, 2007, 13, (4), 353-372 View citations (10)
- SELF‐DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance, 2007, 17, (1), 31-57 View citations (25)
- Stochastic skew in currency options
Journal of Financial Economics, 2007, 86, (1), 213-247 View citations (146)
See also Working Paper Stochastic Skew in Currency Options, Finance (2004) View citations (6) (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 (47)
2006
- A jump to default extended CEV model: an application of Bessel processes
Finance and Stochastics, 2006, 10, (3), 303-330 View citations (93)
2005
- A note on sufficient conditions for no arbitrage
Finance Research Letters, 2005, 2, (3), 125-130 View citations (68)
- Pricing options on realized variance
Finance and Stochastics, 2005, 9, (4), 453-475 View citations (47)
- 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 View citations (2)
2004
- From local volatility to local Levy models
Quantitative Finance, 2004, 4, (5), 581-588 View citations (32)
- Time-changed Levy processes and option pricing
Journal of Financial Economics, 2004, 71, (1), 113-141 View citations (222)
See also Working Paper Time-Changed Levy Processes and Option Pricing, Finance (2002) View citations (12) (2002)
2003
- Stochastic Volatility for Lévy Processes
Mathematical Finance, 2003, 13, (3), 345-382 View citations (134)
See also Working Paper Stochastic Volatility for Levy Processes, Post-Print (2003) View citations (114) (2003)
- The Finite Moment Log Stable Process and Option Pricing
Journal of Finance, 2003, 58, (2), 753-777 View citations (179)
See also Working Paper The Finite Moment Log Stable Process and Option Pricing, Finance (2002) View citations (6) (2002)
- What Type of Process Underlies Options? A Simple Robust Test
Journal of Finance, 2003, 58, (6), 2581-2610 View citations (123)
See also Working Paper What Type of Process Underlies Options? A Simple Robust Test, Finance (2002) View citations (5) (2002)
2002
- The Fine Structure of Asset Returns: An Empirical Investigation
The Journal of Business, 2002, 75, (2), 305-332 View citations (492)
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 (131)
- Pricing and hedging in incomplete markets
Journal of Financial Economics, 2001, 62, (1), 131-167 View citations (45)
2000
- The Valuation of Executive Stock Options in an Intensity-Based Framework
Review of Finance, 2000, 4, (3), 211-230 View citations (39)
1998
- Randomization and the American Put
The Review of Financial Studies, 1998, 11, (3), 597-626 View citations (133)
See also Working Paper Randomization and the American Put, Finance (1996) View citations (1) (1996)
- The Variance Gamma Process and Option Pricing
Review of Finance, 1998, 2, (1), 79-105 View citations (511)
1995
- Two extensions to barrier option valuation
Applied Mathematical Finance, 1995, 2, (3), 173-209 View citations (26)
1992
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance, 1992, 2, (2), 87-106 View citations (152)
See also Chapter ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, World Scientific Book Chapters, 2008, 85-103 (2008) View citations (1) (2008)
1990
- The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value
The Review of Financial Studies, 1990, 3, (3), 469-92 View citations (24)
See also Chapter The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value, World Scientific Book Chapters, 2008, 61-84 (2008) (2008)
1987
- A Note on the Pricing of Commodity-Linked Bonds
Journal of Finance, 1987, 42, (4), 1071-76 View citations (9)
Chapters
2023
- Option Pricing Generators
Chapter 6 in Peter Carr Gedenkschrift Research Advances in Mathematical Finance, 2023, pp 179-209
- Probabilistic Interpretation of Black Implied Volatility
Chapter 3 in Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, 2023, pp 29-46
2008
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 View citations (1)
See also Journal Article ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS, Wiley Blackwell (1992) View citations (152) (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 The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value, Society for Financial Studies (1990) View citations (24) (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 View citations (1)
- 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 View citations (2)
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 View citations (2)
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