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 View citations (1)
2. Semi-analytical pricing of barrier options in the time-dependent Heston model
   Papers, arXiv.org

2021

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

2020

4. Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
   Papers, arXiv.org View citations (5)
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

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

2018

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

2016

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

2014

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

2013

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

2010

20. 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

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

2003

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

2002

26. 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)
27. 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)
28. 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

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

1998

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

1996

31. Randomization and the American Put
    Finance, University Library of Munich, Germany View citations (1)
    See also Journal Article in Review of Financial Studies (1998)
32. Valuing Finite-Lived Options as Perpetual
    Finance, University Library of Munich, Germany 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 View citations (1)
2. Additive logistic processes in option pricing
   Finance and Stochastics, 2021, 25, (4), 689-724 View citations (1)
3. An Expanded Local Variance Gamma Model
   Computational Economics, 2021, 57, (4), 949-987
   See also Working Paper (2018)
4. Robust replication of volatility and hybrid derivatives on jump diffusions
   Mathematical Finance, 2021, 31, (4), 1394-1422
   See also Working Paper (2021)

2020

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

2018

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

2017

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

2016

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

2014

15. First-order calculus and option pricing
    Journal of Financial Engineering (JFE), 2014, 01, (01), 1-19 View citations (4)
16. 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)
17. 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)
18. 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

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

2012

20. Factor Models for Option Pricing
    Asia-Pacific Financial Markets, 2012, 19, (4), 319-329 View citations (2)
21. 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)
22. Variance swaps on time-changed Lévy processes
    Finance and Stochastics, 2012, 16, (2), 335-355 View citations (22)

2011

23. A PDE approach to jump-diffusions
    Quantitative Finance, 2011, 11, (1), 33-52
24. A Simple Robust Link Between American Puts and Credit Protection
    Review of Financial Studies, 2011, 24, (2), 473-505 View citations (19)
25. MAXIMUM DRAWDOWN INSURANCE
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (08), 1195-1230 View citations (11)
26. Options on realized variance and convex orders
    Quantitative Finance, 2011, 11, (11), 1685-1694
27. 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

28. 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)
29. Hedging variance options on continuous semimartingales
    Finance and Stochastics, 2010, 14, (2), 179-207 View citations (32)
30. 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)
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 (47)

2009

32. 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)
33. Volatility Derivatives
    Annual Review of Financial Economics, 2009, 1, (1), 319-339 View citations (68)

2008

34. 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)
35. On the qualitative effect of volatility and duration on prices of Asian options
    Finance Research Letters, 2008, 5, (3), 162-171 View citations (10)
36. 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

37. A new approach for option pricing under stochastic volatility
    Review of Derivatives Research, 2007, 10, (2), 87-150 View citations (74)
38. On the Numerical Evaluation of Option Prices in Jump Diffusion Processes
    The European Journal of Finance, 2007, 13, (4), 353-372 View citations (8)
39. SELF‐DECOMPOSABILITY AND OPTION PRICING
    Mathematical Finance, 2007, 17, (1), 31-57 View citations (23)
40. Stochastic skew in currency options
    Journal of Financial Economics, 2007, 86, (1), 213-247 View citations (134)
    See also Working Paper (2004)
41. 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

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

2005

43. A note on sufficient conditions for no arbitrage
    Finance Research Letters, 2005, 2, (3), 125-130 View citations (58)
44. Pricing options on realized variance
    Finance and Stochastics, 2005, 9, (4), 453-475 View citations (44)
45. 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

46. From local volatility to local Levy models
    Quantitative Finance, 2004, 4, (5), 581-588 View citations (26)
47. 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

48. Stochastic Volatility for Lévy Processes
    Mathematical Finance, 2003, 13, (3), 345-382 View citations (114)
    See also Working Paper (2003)
49. 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)
50. 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

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

2001

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

2000

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

1998

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

1995

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

1992

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

1990

60. 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

61. A Note on the Pricing of Commodity-Linked Bonds
    Journal of Finance, 1987, 42, (4), 1071-76 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
   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
   See also Journal Article in Review of Financial Studies (1990)

2002

3. 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

4. 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
5. 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

6. 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