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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


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Working Papers

2022

  1. Robust replication of barrier-style claims on price and volatility
    Papers, arXiv.org Downloads View citations (1)
  2. Semi-analytical pricing of barrier options in the time-dependent Heston model
    Papers, arXiv.org Downloads

2021

  1. Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
    Papers, arXiv.org Downloads
    See also Journal Article in Mathematical Finance (2021)

2020

  1. Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
    Papers, arXiv.org Downloads View citations (5)
  2. Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
    Papers, arXiv.org Downloads View citations (5)

2019

  1. A lognormal type stochastic volatility model with quadratic drift
    Papers, arXiv.org Downloads View citations (3)
  2. A model-free backward and forward nonlinear PDEs for implied volatility
    Papers, arXiv.org Downloads
  3. ADOL - Markovian approximation of rough lognormal model
    Papers, arXiv.org Downloads View citations (1)
  4. Pricing Variance Swaps on Time-Changed Markov Processes
    Papers, arXiv.org Downloads
  5. Using Machine Learning to Predict Realized Variance
    Papers, arXiv.org Downloads

2018

  1. An Expanded Local Variance Gamma model
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Computational Economics (2021)
  2. Generalizing Geometric Brownian Motion
    Papers, arXiv.org Downloads
  3. Geometric Local Variance Gamma model
    Papers, arXiv.org Downloads

2016

  1. FX Options in Target Zone
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2017)
  2. Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer
    Papers, arXiv.org Downloads View citations (2)

2014

  1. Determining Optimal Trading Rules without Backtesting
    Papers, arXiv.org Downloads View citations (1)
  2. Local Variance Gamma and Explicit Calibration to Option Prices
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Mathematical Finance (2017)

2013

  1. On the Hedging of Options On Exploding Exchange Rates
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Finance and Stochastics (2014)
  2. Why are quadratic normal volatility models analytically tractable?
    Papers, arXiv.org Downloads View citations (13)

2010

  1. Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Computational Economics (2012)

2004

  1. Static Hedging of Standard Options
    Finance, University Library of Munich, Germany Downloads View citations (7)
    See also Journal Article in Journal of Financial Econometrics (2014)
  2. Stochastic Skew in Currency Options
    Finance, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Journal of Financial Economics (2007)
  3. Variance Risk Premia
    Finance, University Library of Munich, Germany Downloads View citations (16)

2003

  1. Bessel processes, the integral of geometric Brownian motion, and Asian options
    Papers, arXiv.org Downloads View citations (4)
  2. Stochastic Volatility for Levy Processes
    Post-Print, HAL View citations (103)
    See also Journal Article in Mathematical Finance (2003)

2002

  1. The Finite Moment Log Stable Process and Option Pricing
    Finance, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Journal of Finance (2003)
  2. Time-Changed Levy Processes and Option Pricing
    Finance, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Journal of Financial Economics (2004)
  3. What Type of Process Underlies Options? A Simple Robust Test
    Finance, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of Finance (2003)

2001

  1. On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
    Papers, arXiv.org Downloads View citations (2)

1998

  1. Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect
    Cahiers de recherche, Université Laval - Département d'économique View citations (1)

1996

  1. Randomization and the American Put
    Finance, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (1998)
  2. Valuing Finite-Lived Options as Perpetual
    Finance, University Library of Munich, Germany Downloads View citations (9)

Journal Articles

2021

  1. A functional analysis approach to the static replication of European options
    Quantitative Finance, 2021, 21, (4), 637-655 Downloads View citations (1)
  2. Additive logistic processes in option pricing
    Finance and Stochastics, 2021, 25, (4), 689-724 Downloads View citations (1)
  3. An Expanded Local Variance Gamma Model
    Computational Economics, 2021, 57, (4), 949-987 Downloads
    See also Working Paper (2018)
  4. Robust replication of volatility and hybrid derivatives on jump diffusions
    Mathematical Finance, 2021, 31, (4), 1394-1422 Downloads
    See also Working Paper (2021)

2020

  1. Option Profit and Loss Attribution and Pricing: A New Framework
    Journal of Finance, 2020, 75, (4), 2271-2316 Downloads View citations (1)
  2. Spiking the Volatility Punch
    Applied Mathematical Finance, 2020, 27, (6), 495-520 Downloads

2018

  1. Seabirds enhance coral reef productivity and functioning in the absence of invasive rats
    Nature, 2018, 559, (7713), 250-253 Downloads View citations (2)

2017

  1. Bounded Brownian Motion
    Risks, 2017, 5, (4), 1-11 Downloads View citations (10)
  2. FX options in target zones
    Quantitative Finance, 2017, 17, (10), 1477-1486 Downloads View citations (6)
    See also Working Paper (2016)
  3. LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
    Mathematical Finance, 2017, 27, (1), 151-193 Downloads View citations (7)
    See also Working Paper (2014)
  4. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
    Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2119-2156 Downloads View citations (12)

2016

  1. Analyzing volatility risk and risk premium in option contracts: A new theory
    Journal of Financial Economics, 2016, 120, (1), 1-20 Downloads View citations (18)
  2. Hedging insurance books
    Insurance: Mathematics and Economics, 2016, 70, (C), 364-372 Downloads View citations (1)
  3. Optimal rates from eigenvalues
    Finance Research Letters, 2016, 16, (C), 230-238 Downloads

2014

  1. First-order calculus and option pricing
    Journal of Financial Engineering (JFE), 2014, 01, (01), 1-19 Downloads View citations (4)
  2. Joint modeling of VIX and SPX options at a single and common maturity with risk management applications
    IISE Transactions, 2014, 46, (11), 1125-1131 Downloads View citations (12)
  3. On the hedging of options on exploding exchange rates
    Finance and Stochastics, 2014, 18, (1), 115-144 Downloads View citations (24)
    See also Working Paper (2013)
  4. Static Hedging of Standard Options
    Journal of Financial Econometrics, 2014, 12, (1), 3-46 Downloads View citations (9)
    Also in Journal of Financial Econometrics, 2013, 12, (1), 3-46 (2013) Downloads View citations (10)

    See also Working Paper (2004)

2013

  1. Variation and share-weighted variation swaps on time-changed Lévy processes
    Finance and Stochastics, 2013, 17, (4), 685-716 Downloads View citations (3)

2012

  1. Factor Models for Option Pricing
    Asia-Pacific Financial Markets, 2012, 19, (4), 319-329 Downloads View citations (2)
  2. Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
    Computational Economics, 2012, 40, (1), 63-104 Downloads View citations (7)
    See also Working Paper (2010)
  3. Variance swaps on time-changed Lévy processes
    Finance and Stochastics, 2012, 16, (2), 335-355 Downloads View citations (22)

2011

  1. A PDE approach to jump-diffusions
    Quantitative Finance, 2011, 11, (1), 33-52 Downloads
  2. A Simple Robust Link Between American Puts and Credit Protection
    Review of Financial Studies, 2011, 24, (2), 473-505 Downloads View citations (19)
  3. MAXIMUM DRAWDOWN INSURANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (08), 1195-1230 Downloads View citations (11)
  4. Options on realized variance and convex orders
    Quantitative Finance, 2011, 11, (11), 1685-1694 Downloads
  5. SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (07), 1091-1111 Downloads View citations (3)

2010

  1. A class of Levy process models with almost exact calibration to both barrier and vanilla FX options
    Quantitative Finance, 2010, 10, (10), 1115-1136 Downloads View citations (16)
  2. Hedging variance options on continuous semimartingales
    Finance and Stochastics, 2010, 14, (2), 179-207 Downloads View citations (32)
  3. Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
    Review of Derivatives Research, 2010, 13, (2), 141-176 Downloads View citations (30)
  4. Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
    Journal of Financial Econometrics, 2010, 8, (4), 409-449 Downloads View citations (47)

2009

  1. Variance Risk Premiums
    Review of Financial Studies, 2009, 22, (3), 1311-1341 Downloads View citations (340)
    Also in Review of Financial Studies, 2009, 22, (3), 1311-1341 (2009) Downloads View citations (358)
  2. Volatility Derivatives
    Annual Review of Financial Economics, 2009, 1, (1), 319-339 Downloads View citations (68)

2008

  1. HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (04), 403-414 Downloads View citations (4)
  2. On the qualitative effect of volatility and duration on prices of Asian options
    Finance Research Letters, 2008, 5, (3), 162-171 Downloads View citations (10)
  3. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
    Journal of Financial Economics, 2008, 87, (1), 132-156 Downloads View citations (67)

2007

  1. A new approach for option pricing under stochastic volatility
    Review of Derivatives Research, 2007, 10, (2), 87-150 Downloads View citations (74)
  2. On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
    The European Journal of Finance, 2007, 13, (4), 353-372 Downloads View citations (8)
  3. SELF‐DECOMPOSABILITY AND OPTION PRICING
    Mathematical Finance, 2007, 17, (1), 31-57 Downloads View citations (23)
  4. Stochastic skew in currency options
    Journal of Financial Economics, 2007, 86, (1), 213-247 Downloads View citations (134)
    See also Working Paper (2004)
  5. Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
    Journal of Banking & Finance, 2007, 31, (8), 2383-2403 Downloads View citations (41)

2006

  1. A jump to default extended CEV model: an application of Bessel processes
    Finance and Stochastics, 2006, 10, (3), 303-330 Downloads View citations (85)

2005

  1. A note on sufficient conditions for no arbitrage
    Finance Research Letters, 2005, 2, (3), 125-130 Downloads View citations (58)
  2. Pricing options on realized variance
    Finance and Stochastics, 2005, 9, (4), 453-475 Downloads View citations (44)
  3. 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 Downloads

2004

  1. From local volatility to local Levy models
    Quantitative Finance, 2004, 4, (5), 581-588 Downloads View citations (26)
  2. Time-changed Levy processes and option pricing
    Journal of Financial Economics, 2004, 71, (1), 113-141 Downloads View citations (185)
    See also Working Paper (2002)

2003

  1. Stochastic Volatility for Lévy Processes
    Mathematical Finance, 2003, 13, (3), 345-382 Downloads View citations (114)
    See also Working Paper (2003)
  2. The Finite Moment Log Stable Process and Option Pricing
    Journal of Finance, 2003, 58, (2), 753-777 Downloads View citations (154)
    See also Working Paper (2002)
  3. What Type of Process Underlies Options? A Simple Robust Test
    Journal of Finance, 2003, 58, (6), 2581-2610 Downloads View citations (109)
    See also Working Paper (2002)

2002

  1. The Fine Structure of Asset Returns: An Empirical Investigation
    The Journal of Business, 2002, 75, (2), 305-332 Downloads View citations (426)

2001

  1. Optimal investment in derivative securities
    Finance and Stochastics, 2001, 5, (1), 33-59 Downloads View citations (13)
  2. Optimal positioning in derivative securities
    Quantitative Finance, 2001, 1, (1), 19-37 Downloads View citations (108)
  3. Pricing and hedging in incomplete markets
    Journal of Financial Economics, 2001, 62, (1), 131-167 Downloads View citations (43)

2000

  1. The Valuation of Executive Stock Options in an Intensity-Based Framework
    Review of Finance, 2000, 4, (3), 211-230 Downloads View citations (35)

1998

  1. Randomization and the American Put
    Review of Financial Studies, 1998, 11, (3), 597-626 View citations (114)
    See also Working Paper (1996)
  2. The Variance Gamma Process and Option Pricing
    Review of Finance, 1998, 2, (1), 79-105 Downloads View citations (455)

1995

  1. Two extensions to barrier option valuation
    Applied Mathematical Finance, 1995, 2, (3), 173-209 Downloads View citations (21)

1992

  1. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Mathematical Finance, 1992, 2, (2), 87-106 Downloads View citations (135)
    See also Chapter (2008)

1990

  1. 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 Downloads View citations (21)
    See also Chapter (2008)

1987

  1. A Note on the Pricing of Commodity-Linked Bonds
    Journal of Finance, 1987, 42, (4), 1071-76 Downloads View citations (7)

Chapters

2008

  1. ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
    Chapter 5 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 85-103 Downloads
    See also Journal Article in Mathematical Finance (1992)
  2. 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 Downloads
    See also Journal Article in Review of Financial Studies (1990)

2002

  1. 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 Downloads

2001

  1. 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 Downloads
  2. 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 Downloads

1999

  1. 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 Downloads
 
Page updated 2022-06-24