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Access Statistics for Peter P. Carr

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A lognormal type stochastic volatility model with quadratic drift 0 0 0 20 0 3 10 51
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 0 2 18
ADOL - Markovian approximation of rough lognormal model 0 1 2 16 0 1 5 41
An Expanded Local Variance Gamma model 0 0 1 6 1 1 3 43
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 0 2 105
Determining Optimal Trading Rules without Backtesting 0 0 0 16 1 2 5 43
FX Options in Target Zone 0 0 0 8 0 1 1 59
Generalizing Geometric Brownian Motion 0 1 1 16 1 4 6 49
Geometric Local Variance Gamma model 0 0 1 4 0 0 3 32
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 0 22 1 2 3 21
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 1 1 2 68
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 0 2 45 0 0 4 167
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 0 0 1,371
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 0 1 1 17
Randomization and the American Put 0 0 0 284 0 1 2 1,058
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 0 0 3 9
Robust replication of barrier-style claims on price and volatility 0 0 1 6 0 1 3 21
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 5 14 1 3 12 26
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 1 3 1 1 4 20
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 1 3 22
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 1 5 2 5 6 35
Static Hedging of Standard Options 1 1 2 1,228 3 3 12 3,663
Stochastic Skew in Currency Options 0 0 0 528 0 0 1 1,636
Stochastic Volatility for Levy Processes 0 0 0 5 0 0 2 46
The Finite Moment Log Stable Process and Option Pricing 1 1 1 480 2 3 4 1,266
Time-Changed Levy Processes and Option Pricing 0 1 3 1,206 1 2 7 2,468
Using Machine Learning to Predict Realized Variance 1 1 2 61 4 6 15 82
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 1 2 2 94
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 0 0 859
Variance Risk Premia 0 0 3 554 1 2 9 1,394
Vol, Skew, and Smile Trading 3 8 47 56 4 12 62 74
What Type of Process Underlies Options? A Simple Robust Test 0 0 2 331 0 0 4 726
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 1 4 80
Total Working Papers 6 14 75 5,331 25 59 202 15,664
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on the Pricing of Commodity-Linked Bonds 0 0 0 80 0 0 0 173
A PDE approach to jump-diffusions 0 0 0 12 0 0 1 63
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 33 0 3 11 115
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 0 1 3 92
A functional analysis approach to the static replication of European options 0 0 0 0 1 2 2 4
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 0 1 2 238
A new approach for option pricing under stochastic volatility 0 0 0 132 0 1 4 299
A note on sufficient conditions for no arbitrage 1 2 4 87 1 5 17 242
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 36 2 5 11 126
Additive logistic processes in option pricing 0 0 0 1 1 1 1 11
An Expanded Local Variance Gamma Model 0 0 1 3 0 0 3 9
Analyzing volatility risk and risk premium in option contracts: A new theory 0 2 8 115 1 6 23 406
Bounded Brownian Motion 0 0 0 14 1 2 4 86
Convex duality in continuous option pricing models 2 3 4 4 2 3 5 5
Decomposing Long Bond Returns: A Decentralized Theory* 1 2 3 7 1 3 11 18
FX options in target zones 0 0 0 4 1 2 3 21
Factor Models for Option Pricing 0 0 6 32 0 0 11 76
First-order calculus and option pricing 0 0 0 4 1 1 2 32
From local volatility to local Levy models 0 0 2 4 0 0 2 23
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 0 0 23
Hedging insurance books 0 0 0 4 0 0 1 24
Hedging variance options on continuous semimartingales 0 0 0 16 0 1 2 90
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 0 0 0 12
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 1 2 4 12 1 3 7 35
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 0 2 53
MAXIMUM DRAWDOWN INSURANCE 0 0 1 6 0 2 3 30
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 0 59 0 1 2 164
On the hedging of options on exploding exchange rates 0 0 0 7 0 1 2 69
On the qualitative effect of volatility and duration on prices of Asian options 0 0 0 20 1 1 3 92
Optimal investment in derivative securities 0 0 0 221 0 0 0 765
Optimal positioning in derivative securities 1 1 7 134 3 7 23 380
Optimal rates from eigenvalues 0 0 0 1 0 0 0 12
Option Profit and Loss Attribution and Pricing: A New Framework 1 2 8 47 2 3 28 235
Options on realized variance and convex orders 0 0 0 1 0 1 1 5
Pricing and hedging in incomplete markets 0 1 1 123 0 1 4 265
Pricing options on realized variance 0 0 0 64 0 0 3 246
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 1 1 102
Randomization and the American Put 0 0 0 0 0 0 3 254
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 0 3 3
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 1 34 0 0 2 96
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 2 5 0 0 2 13
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 0 1 5
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 1 0 0 1 2
Spiking the Volatility Punch 0 0 0 0 0 0 1 7
Static Hedging of Standard Options 0 0 1 16 0 1 2 57
Static Hedging of Standard Options 0 0 0 4 1 2 6 29
Static replication of European standard dispersion options 0 0 2 3 0 0 3 6
Stochastic Volatility for Lévy Processes 0 0 0 83 0 2 3 238
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 79 0 1 6 334
Stochastic skew in currency options 0 0 3 133 0 0 6 453
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 1 1 6 87 1 1 7 374
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 3 11 0 0 4 23
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 2 242 1 7 14 904
The Finite Moment Log Stable Process and Option Pricing 0 0 1 5 0 0 3 23
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 2 7 455 3 5 21 1,295
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 3 0 1 2 34
The Variance Gamma Process and Option Pricing 1 3 24 151 3 10 59 492
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 2 48 0 1 4 169
Time-changed Levy processes and option pricing 0 2 9 242 0 3 23 731
Two extensions to barrier option valuation 0 2 5 46 0 3 6 128
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 0 53
Variance Risk Premiums 0 1 14 153 1 6 30 512
Variance Risk Premiums 3 5 19 28 4 7 39 99
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 1 62
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 0 1 30
Volatility Derivatives 2 4 9 152 8 10 28 464
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 40 1 2 8 215
Total Journal Articles 16 38 165 3,439 42 120 487 11,746
4 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 2 12 1 1 4 48
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 0 0 14
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 1 16 0 0 3 48
Option Pricing Generators 0 0 1 1 0 0 3 3
Probabilistic Interpretation of Black Implied Volatility 0 1 1 6 0 2 3 16
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 2 5 22 0 2 5 45
STATIC HEDGING OF EXOTIC OPTIONS 0 0 2 9 0 1 5 37
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 1 1 28 2 3 9 126
Total Chapters 1 4 13 99 3 9 32 337

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Statistics updated 2024-12-04