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 2 2 19 79
A model-free backward and forward nonlinear PDEs for implied volatility 1 1 1 5 1 1 7 27
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 1 17 61
An Expanded Local Variance Gamma model 0 0 0 6 1 2 13 57
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 0 10 117
Determining Optimal Trading Rules without Backtesting 0 0 1 17 10 14 32 76
FX Options in Target Zone 0 0 0 10 1 1 20 83
Generalizing Geometric Brownian Motion 0 0 0 17 1 1 7 61
Geometric Local Variance Gamma model 0 0 0 4 1 1 10 43
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 1 1 15 38
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 1 2 8 77
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 0 5 270
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 0 2 50 2 4 17 192
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 1 1 9 1,380
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 3 3 12 29
Randomization and the American Put 0 0 0 284 0 1 8 1,068
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 1 6 1 1 14 25
Robust replication of barrier-style claims on price and volatility 0 0 0 6 1 1 6 28
Semi-analytical pricing of barrier options in the time-dependent Heston model 1 1 1 16 3 5 20 51
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 1 1 4 1 3 13 33
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 1 10 32
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 0 10 46
Static Hedging of Standard Options 0 0 2 1,232 3 6 49 3,725
Stochastic Skew in Currency Options 0 0 0 529 2 2 25 1,663
Stochastic Volatility for Levy Processes 0 0 0 5 0 1 13 60
The Finite Moment Log Stable Process and Option Pricing 0 0 1 482 1 1 26 1,293
Time-Changed Levy Processes and Option Pricing 0 0 1 1,207 2 3 22 2,495
Using Machine Learning to Predict Realized Variance 0 1 2 65 2 3 28 113
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 0 0 14 111
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 1 10 869
Variance Risk Premia 1 5 12 566 8 21 93 1,502
Vol, Skew, and Smile Trading 1 3 18 103 2 4 37 155
What Type of Process Underlies Options? A Simple Robust Test 2 2 2 334 4 5 31 760
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 3 5 20 103
Total Working Papers 6 14 47 5,504 60 98 650 16,722

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 3 178
A PDE approach to jump-diffusions 0 0 0 12 0 0 8 72
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 38 1 3 11 132
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 2 2 7 100
A functional analysis approach to the static replication of European options 0 2 4 5 0 2 18 28
A jump to default extended CEV model: an application of Bessel processes 0 0 1 43 0 2 15 256
A new approach for option pricing under stochastic volatility 0 0 0 132 1 3 18 319
A note on sufficient conditions for no arbitrage 0 1 7 96 1 4 29 280
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 5 41 0 1 35 163
Additive logistic processes in option pricing 0 0 0 1 0 0 16 29
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 1 1 8 8
An Expanded Local Variance Gamma Model 0 1 1 5 0 1 6 22
Analyzing volatility risk and risk premium in option contracts: A new theory 1 1 12 131 2 9 55 483
Bounded Brownian Motion 0 0 0 15 0 1 7 99
Convex duality in continuous option pricing models 1 1 1 7 3 5 21 32
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 0 12 0 2 10 37
Derivatives pricing under bilateral counterparty risk 0 0 0 0 0 0 4 5
Deriving derivatives of derivative securities 0 0 2 3 0 0 6 7
FX options in target zones 0 0 0 4 0 0 13 35
Factor Models for Option Pricing 0 0 2 36 1 3 14 96
First-order calculus and option pricing 0 0 1 5 0 1 10 42
From local volatility to local Levy models 0 0 0 4 0 1 11 37
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 1 1 4 0 1 11 35
Hedging insurance books 0 0 0 4 0 0 8 32
Hedging variance options on continuous semimartingales 0 0 0 16 0 0 14 104
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 1 3 60 65 76 89
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 1 13 0 0 12 49
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 1 3 16 0 1 14 68
MAXIMUM DRAWDOWN INSURANCE 0 1 1 7 0 2 13 43
Markets, profits, capital, leverage and return 0 0 1 1 0 0 9 9
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 0 60 0 0 6 173
On the hedging of options on exploding exchange rates 0 0 0 7 1 1 7 77
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 22 0 1 14 109
Optimal investment in derivative securities 0 0 0 221 0 0 5 770
Optimal positioning in derivative securities 0 0 0 139 1 2 12 405
Optimal rates from eigenvalues 0 0 0 1 0 0 9 21
Option Profit and Loss Attribution and Pricing: A New Framework 1 1 5 54 4 8 35 281
Option valuation using the fast Fourier transform 1 3 8 12 3 8 34 44
Options on realized variance and convex orders 0 0 0 1 0 0 14 19
Pricing and hedging in incomplete markets 0 0 0 123 0 1 9 276
Pricing options on realized variance 0 0 0 64 0 1 10 258
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 5 110
Randomization and the American Put 0 0 0 0 0 1 10 265
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 1 1 16 21
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 0 4 100
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 3 8 3 3 12 26
Saddlepoint methods for option pricing 0 0 0 0 0 0 8 11
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 0 10 17
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 2 1 2 7 11
Spiking the Volatility Punch 0 0 0 0 1 1 3 10
Static Hedging of Standard Options 0 0 1 6 0 0 17 51
Static Hedging of Standard Options 0 0 0 16 0 1 24 83
Static replication of European standard dispersion options 0 0 1 5 0 6 16 28
Stochastic Volatility for Lévy Processes 0 1 2 85 0 1 13 256
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 80 2 2 7 344
Stochastic skew in currency options 1 2 2 135 3 9 22 480
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 0 1 13 390
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 1 9 32
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 9 255 1 5 28 943
The Finite Moment Log Stable Process and Option Pricing 0 1 2 7 4 6 22 49
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 6 463 5 7 34 1,344
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 0 1 7 42
The Variance Gamma Process and Option Pricing 1 2 19 174 4 12 78 602
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 0 0 10 182
Time-changed Levy processes and option pricing 0 0 2 245 0 0 41 777
Two extensions to barrier option valuation 0 0 1 51 2 2 13 145
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 1 16 69
Variance Risk Premiums 7 14 34 192 38 77 175 708
Variance Risk Premiums 0 1 3 36 9 17 35 150
Variance swaps on time-changed Lévy processes 0 0 0 12 0 1 13 77
Variation and share-weighted variation swaps on time-changed Lévy processes 1 1 1 4 1 2 13 44
Volatility Derivatives 0 0 5 164 4 15 58 546
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 0 2 8 228
Total Journal Articles 15 37 154 3,667 160 309 1,384 13,463
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 1 15 1 2 23 76
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 1 10 25
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 0 1 18 69
Option Pricing Generators 0 0 1 2 0 1 9 14
Probabilistic Interpretation of Black Implied Volatility 0 0 1 9 0 0 9 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 1 27 0 0 11 63
STATIC HEDGING OF EXOTIC OPTIONS 0 0 1 10 9 9 16 58
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 6 36 6 8 38 170
Total Chapters 0 1 11 121 16 22 134 505

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Statistics updated 2026-09-10