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 1 8 15 71
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 2 4 23
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 7 14 55
An Expanded Local Variance Gamma model 0 0 0 6 0 1 5 48
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 2 5 7 112
Determining Optimal Trading Rules without Backtesting 0 0 0 16 3 7 10 53
FX Options in Target Zone 0 0 2 10 1 10 18 78
Generalizing Geometric Brownian Motion 0 0 0 17 0 4 5 58
Geometric Local Variance Gamma model 0 0 0 4 0 5 7 39
Local Variance Gamma and Explicit Calibration to Option Prices 0 1 1 23 0 8 13 34
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 1 4 72
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 4 5 270
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 1 5 50 1 8 15 184
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 1 6 7 1,378
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 0 3 5 22
Randomization and the American Put 0 0 0 284 0 2 5 1,064
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 1 1 1 6 2 6 10 19
Robust replication of barrier-style claims on price and volatility 0 0 0 6 1 3 4 25
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 0 8 14 41
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 6 7 27
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 3 7 9 31
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 1 1 3 38
Static Hedging of Standard Options 0 1 3 1,232 5 16 34 3,701
Stochastic Skew in Currency Options 0 0 1 529 2 12 16 1,653
Stochastic Volatility for Levy Processes 0 0 0 5 0 7 7 54
The Finite Moment Log Stable Process and Option Pricing 0 0 0 481 8 13 18 1,285
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 1 9 16 2,487
Using Machine Learning to Predict Realized Variance 0 1 3 64 2 15 21 103
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 1 6 10 106
Valuing Finite-Lived Options as Perpetual 0 0 0 301 1 4 5 864
Variance Risk Premia 3 3 5 559 13 49 62 1,465
Vol, Skew, and Smile Trading 1 6 33 98 4 15 54 142
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 0 18 25 752
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 1 9 14 96
Total Working Papers 5 14 58 5,483 56 285 468 16,450

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 3 4 178
A PDE approach to jump-diffusions 0 0 0 12 0 4 6 69
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 38 1 4 10 128
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 1 2 3 96
A functional analysis approach to the static replication of European options 1 1 2 2 1 5 10 16
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 2 6 10 250
A new approach for option pricing under stochastic volatility 0 0 0 132 1 4 15 314
A note on sufficient conditions for no arbitrage 0 1 3 90 1 9 24 266
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 2 3 39 3 21 30 156
Additive logistic processes in option pricing 0 0 0 1 2 6 11 23
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 1 5 5 5
An Expanded Local Variance Gamma Model 0 0 1 4 0 1 7 18
Analyzing volatility risk and risk premium in option contracts: A new theory 1 3 7 124 6 23 43 458
Bounded Brownian Motion 0 0 1 15 0 2 10 96
Convex duality in continuous option pricing models 0 0 2 6 0 3 11 18
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 4 12 3 4 10 31
Derivatives pricing under bilateral counterparty risk 0 0 0 0 1 2 2 3
Deriving derivatives of derivative securities 0 1 2 3 0 2 5 6
FX options in target zones 0 0 0 4 4 10 11 32
Factor Models for Option Pricing 1 1 2 35 1 3 9 88
First-order calculus and option pricing 0 0 0 4 0 2 3 35
From local volatility to local Levy models 0 0 0 4 1 3 9 32
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 4 9 32
Hedging insurance books 0 0 0 4 0 3 6 30
Hedging variance options on continuous semimartingales 0 0 0 16 0 4 7 97
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 1 7 10 22
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 0 12 2 8 11 47
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 1 2 15 3 7 10 64
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 1 8 10 40
Markets, profits, capital, leverage and return 0 1 1 1 0 5 8 8
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 0 3 6 171
On the hedging of options on exploding exchange rates 0 0 0 7 0 4 4 74
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 4 8 11 104
Optimal investment in derivative securities 0 0 0 221 0 3 4 769
Optimal positioning in derivative securities 0 0 4 139 2 5 12 398
Optimal rates from eigenvalues 0 0 0 1 0 5 7 19
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 4 51 1 11 22 261
Option valuation using the fast Fourier transform 1 1 6 6 1 6 24 25
Options on realized variance and convex orders 0 0 0 1 0 10 10 15
Pricing and hedging in incomplete markets 0 0 0 123 3 5 7 273
Pricing options on realized variance 0 0 0 64 0 7 9 256
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 3 4 109
Randomization and the American Put 0 0 0 0 1 6 9 263
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 4 6 10 13
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 1 2 3 99
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 1 1 2 7 2 4 6 19
Saddlepoint methods for option pricing 0 0 0 0 0 0 3 4
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 2 5 8 13
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 2 0 1 4 6
Spiking the Volatility Punch 0 0 0 0 0 2 2 9
Static Hedging of Standard Options 1 1 1 6 4 9 14 46
Static Hedging of Standard Options 0 0 0 16 3 8 16 74
Static replication of European standard dispersion options 0 0 0 4 2 5 8 18
Stochastic Volatility for Lévy Processes 0 0 0 83 1 7 12 252
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 0 3 6 341
Stochastic skew in currency options 0 0 0 133 0 5 12 468
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 2 89 1 5 10 385
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 5 6 29
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 7 250 4 11 26 932
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 0 4 13 37
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 4 460 2 10 24 1,325
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 0 2 5 39
The Variance Gamma Process and Option Pricing 0 4 12 165 3 18 61 569
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 2 6 8 179
Time-changed Levy processes and option pricing 0 1 2 244 6 16 25 759
Two extensions to barrier option valuation 0 0 4 50 2 5 10 138
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 6 11 64
Variance Risk Premiums 4 8 13 168 17 39 67 585
Variance Risk Premiums 0 0 3 33 3 6 16 123
Variance swaps on time-changed Lévy processes 0 0 0 12 0 5 8 71
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 5 10 40
Volatility Derivatives 0 2 10 162 3 23 47 517
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 0 2 7 224
Total Journal Articles 11 34 112 3,572 111 471 906 12,773
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 1 3 15 2 16 21 69
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 2 5 19
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 3 7 9 60
Option Pricing Generators 0 0 0 1 0 2 5 9
Probabilistic Interpretation of Black Implied Volatility 1 1 2 9 1 6 10 28
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 1 4 27 0 7 13 60
STATIC HEDGING OF EXOTIC OPTIONS 1 1 1 10 1 4 10 48
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 6 34 3 13 25 152
Total Chapters 2 5 16 118 10 57 98 445

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Statistics updated 2026-03-04