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 1 18 77
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 0 6 26
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 0 1 16 60
An Expanded Local Variance Gamma model 0 0 0 6 0 3 12 56
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 1 1 17 3 6 23 66
FX Options in Target Zone 0 0 0 10 0 0 19 82
Generalizing Geometric Brownian Motion 0 0 0 17 0 0 7 60
Geometric Local Variance Gamma model 0 0 0 4 0 0 9 42
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 0 0 14 37
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 1 7 76
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 1 2 15 190
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 0 8 1,379
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 0 0 9 26
Randomization and the American Put 0 0 0 284 0 2 8 1,068
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 1 6 0 0 15 24
Robust replication of barrier-style claims on price and volatility 0 0 0 6 0 0 5 27
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 0 2 18 48
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 1 1 1 4 1 3 12 32
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 9 31
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 0 11 46
Static Hedging of Standard Options 0 0 2 1,232 2 10 47 3,722
Stochastic Skew in Currency Options 0 0 0 529 0 4 23 1,661
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 0 0 25 1,292
Time-Changed Levy Processes and Option Pricing 0 0 1 1,207 0 1 20 2,493
Using Machine Learning to Predict Realized Variance 0 1 2 65 0 1 27 111
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 1 2 10 869
Variance Risk Premia 2 5 11 565 8 15 86 1,494
Vol, Skew, and Smile Trading 1 3 19 102 1 4 39 153
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 332 1 1 27 756
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 2 17 100
Total Working Papers 4 11 44 5,498 18 62 604 16,662

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 1 8 72
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 38 2 2 10 131
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 0 0 5 98
A functional analysis approach to the static replication of European options 2 3 4 5 2 6 19 28
A jump to default extended CEV model: an application of Bessel processes 0 0 1 43 2 3 16 256
A new approach for option pricing under stochastic volatility 0 0 0 132 1 3 18 318
A note on sufficient conditions for no arbitrage 0 1 7 96 1 5 29 279
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 5 41 1 2 35 163
Additive logistic processes in option pricing 0 0 0 1 0 2 17 29
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 0 0 7 7
An Expanded Local Variance Gamma Model 1 1 1 5 1 1 8 22
Analyzing volatility risk and risk premium in option contracts: A new theory 0 1 11 130 4 9 54 481
Bounded Brownian Motion 0 0 1 15 1 2 8 99
Convex duality in continuous option pricing models 0 0 1 6 1 5 20 29
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 0 12 0 3 11 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 1 3 36 2 4 16 95
First-order calculus and option pricing 0 0 1 5 0 2 10 42
From local volatility to local Levy models 0 0 0 4 0 2 12 37
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 1 1 1 4 1 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 2 5 17 29
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 1 1 3 16 1 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 0 0 6 76
On the qualitative effect of volatility and duration on prices of Asian options 0 1 1 22 1 3 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 11 404
Optimal rates from eigenvalues 0 0 0 1 0 0 9 21
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 5 53 2 7 32 277
Option valuation using the fast Fourier transform 0 3 8 11 0 8 33 41
Options on realized variance and convex orders 0 0 0 1 0 1 14 19
Pricing and hedging in incomplete markets 0 0 0 123 1 2 9 276
Pricing options on realized variance 0 0 0 64 1 2 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 1 1 10 265
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 1 15 20
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 0 0 9 23
Saddlepoint methods for option pricing 0 0 0 0 0 1 8 11
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 0 11 17
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 2 1 1 6 10
Spiking the Volatility Punch 0 0 0 0 0 0 2 9
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 1 1 5 1 8 16 28
Stochastic Volatility for Lévy Processes 0 2 2 85 0 2 13 256
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 80 0 0 5 342
Stochastic skew in currency options 1 1 1 134 6 6 19 477
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 1 2 13 390
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 1 2 9 32
The Fine Structure of Asset Returns: An Empirical Investigation 0 3 9 254 1 6 28 942
The Finite Moment Log Stable Process and Option Pricing 0 2 2 7 1 5 18 45
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 6 463 1 5 31 1,339
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 1 2 7 42
The Variance Gamma Process and Option Pricing 0 4 19 173 3 13 77 598
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 0 0 11 182
Time-changed Levy processes and option pricing 0 1 2 245 0 5 41 777
Two extensions to barrier option valuation 0 0 4 51 0 2 14 143
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 1 2 16 69
Variance Risk Premiums 1 1 3 36 4 9 26 141
Variance Risk Premiums 4 8 27 185 20 53 138 670
Variance swaps on time-changed Lévy processes 0 0 0 12 1 2 13 77
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 1 12 43
Volatility Derivatives 0 0 5 164 5 16 55 542
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 0 3 8 228
Total Journal Articles 11 40 149 3,652 77 235 1,257 13,303
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 3 15 1 2 25 75
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 2 11 25
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 1 1 18 69
Option Pricing Generators 0 1 1 2 1 2 9 14
Probabilistic Interpretation of Black Implied Volatility 0 0 1 9 0 0 10 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 1 27 0 0 11 63
STATIC HEDGING OF EXOTIC OPTIONS 0 0 1 10 0 0 8 49
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 1 8 36 1 5 35 164
Total Chapters 1 2 15 121 4 12 127 489

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Statistics updated 2026-08-07