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 3 5 15 56
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 1 1 3 19
ADOL - Markovian approximation of rough lognormal model 0 0 2 16 0 0 3 41
An Expanded Local Variance Gamma model 0 0 1 6 0 0 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 0 0 5 43
FX Options in Target Zone 0 0 0 8 0 1 2 60
Generalizing Geometric Brownian Motion 0 1 2 17 2 4 10 53
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 0 0 2 21
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 0 2 68
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 0 2 45 0 2 5 169
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 0 1 17
Randomization and the American Put 0 0 0 284 1 1 2 1,059
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 0 3 21
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 3 14 1 1 10 27
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 0 0 3 20
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 3 22
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 1 5 0 0 6 35
Static Hedging of Standard Options 0 1 3 1,229 1 4 15 3,667
Stochastic Skew in Currency Options 0 0 0 528 0 1 2 1,637
Stochastic Volatility for Levy Processes 0 0 0 5 0 1 3 47
The Finite Moment Log Stable Process and Option Pricing 1 1 2 481 1 1 4 1,267
Time-Changed Levy Processes and Option Pricing 0 0 3 1,206 2 3 10 2,471
Using Machine Learning to Predict Realized Variance 0 0 1 61 0 0 12 82
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 1 2 4 96
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 0 0 859
Variance Risk Premia 0 0 3 554 0 9 17 1,403
Vol, Skew, and Smile Trading 0 9 44 65 1 14 62 88
What Type of Process Underlies Options? A Simple Robust Test 0 0 2 331 1 1 4 727
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 1 2 6 82
Total Working Papers 1 12 71 5,343 16 53 225 15,717
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 1 1 174
A PDE approach to jump-diffusions 0 0 0 12 0 0 1 63
A Simple Robust Link Between American Puts and Credit Protection 1 2 3 35 2 3 11 118
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 1 1 4 93
A functional analysis approach to the static replication of European options 0 0 0 0 1 2 4 6
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 1 2 4 240
A new approach for option pricing under stochastic volatility 0 0 0 132 0 0 3 299
A note on sufficient conditions for no arbitrage 0 0 4 87 0 0 16 242
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 1 36 0 0 6 126
Additive logistic processes in option pricing 0 0 0 1 0 1 2 12
An Expanded Local Variance Gamma Model 0 0 1 3 2 2 5 11
Analyzing volatility risk and risk premium in option contracts: A new theory 0 2 10 117 2 9 29 415
Bounded Brownian Motion 0 0 0 14 0 0 4 86
Convex duality in continuous option pricing models 0 0 4 4 0 2 7 7
Decomposing Long Bond Returns: A Decentralized Theory* 0 1 4 8 0 3 11 21
Derivatives pricing under bilateral counterparty risk 0 0 0 0 1 1 1 1
Deriving derivatives of derivative securities 1 1 1 1 1 1 1 1
FX options in target zones 0 0 0 4 0 0 2 21
Factor Models for Option Pricing 0 1 6 33 0 3 13 79
First-order calculus and option pricing 0 0 0 4 0 0 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 0 24
Hedging variance options on continuous semimartingales 0 0 0 16 0 0 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 0 0 4 12 0 1 8 36
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 1 3 54
MAXIMUM DRAWDOWN INSURANCE 0 0 1 6 0 0 3 30
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 0 59 1 1 3 165
On the hedging of options on exploding exchange rates 0 0 0 7 0 1 3 70
On the qualitative effect of volatility and duration on prices of Asian options 0 0 0 20 0 1 3 93
Optimal investment in derivative securities 0 0 0 221 0 0 0 765
Optimal positioning in derivative securities 0 1 5 135 3 6 23 386
Optimal rates from eigenvalues 0 0 0 1 0 0 0 12
Option Profit and Loss Attribution and Pricing: A New Framework 0 0 6 47 0 4 26 239
Options on realized variance and convex orders 0 0 0 1 0 0 1 5
Pricing and hedging in incomplete markets 0 0 1 123 1 1 4 266
Pricing options on realized variance 0 0 0 64 0 1 3 247
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 2 3 4 105
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
Saddlepoint methods for option pricing 0 0 0 0 1 1 1 1
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 0 0 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 3 58
Static Hedging of Standard Options 0 1 1 5 0 3 7 32
Static replication of European standard dispersion options 1 1 3 4 3 4 7 10
Stochastic Volatility for Lévy Processes 0 0 0 83 2 2 5 240
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 79 0 1 6 335
Stochastic skew in currency options 0 0 3 133 1 3 8 456
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 5 87 0 1 7 375
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 2 11 0 0 3 23
The Fine Structure of Asset Returns: An Empirical Investigation 1 1 3 243 1 2 16 906
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 0 1 2 24
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 7 456 2 6 23 1,301
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 3 0 0 2 34
The Variance Gamma Process and Option Pricing 1 2 22 153 7 16 63 508
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 2 2 4 50 2 2 6 171
Time-changed Levy processes and option pricing 0 0 7 242 0 3 21 734
Two extensions to barrier option valuation 0 0 5 46 0 0 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 1 2 14 155 4 6 33 518
Variance Risk Premiums 1 2 17 30 4 8 37 107
Variance swaps on time-changed Lévy processes 0 0 0 12 0 1 2 63
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 0 0 30
Volatility Derivatives 0 0 9 152 4 6 31 470
What Type of Process Underlies Options? A Simple Robust Test 1 1 1 41 1 2 8 217
Total Journal Articles 10 21 161 3,460 50 120 524 11,866
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 0 12 0 0 2 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 1 2 17 1 3 6 51
Option Pricing Generators 0 0 0 1 0 1 1 4
Probabilistic Interpretation of Black Implied Volatility 0 1 2 7 1 2 5 18
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 1 5 23 0 2 6 47
STATIC HEDGING OF EXOTIC OPTIONS 0 0 2 9 1 1 6 38
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 1 28 0 1 9 127
Total Chapters 0 3 12 102 3 10 35 347

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Statistics updated 2025-03-03