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 1 1 20 0 1 4 40
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 0 1 16
ADOL - Markovian approximation of rough lognormal model 0 0 1 14 0 0 3 35
An Expanded Local Variance Gamma model 0 1 2 5 0 1 4 38
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 1 38 0 1 2 103
Determining Optimal Trading Rules without Backtesting 0 0 2 15 0 0 3 34
FX Options in Target Zone 0 0 2 8 0 0 4 58
Generalizing Geometric Brownian Motion 0 0 0 13 0 0 1 36
Geometric Local Variance Gamma model 0 0 1 2 0 0 4 27
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 0 22 0 0 0 18
On the Hedging of Options On Exploding Exchange Rates 0 0 2 10 0 0 2 64
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 1 1 43 0 2 4 162
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 0 1 1,370
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 7 0 1 1 15
Randomization and the American Put 0 0 0 284 0 0 0 1,052
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 0 0 1 5
Robust replication of barrier-style claims on price and volatility 0 0 0 5 0 0 2 17
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 1 5 6 0 1 7 8
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 2 2 0 1 5 15
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 2 3 6 1 3 8 18
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 1 3 0 0 3 27
Static Hedging of Standard Options 0 0 2 1,225 1 1 15 3,639
Stochastic Skew in Currency Options 0 0 0 528 1 1 5 1,633
Stochastic Volatility for Levy Processes 0 0 0 5 0 0 0 42
The Finite Moment Log Stable Process and Option Pricing 0 0 0 477 1 2 8 1,243
Time-Changed Levy Processes and Option Pricing 0 0 1 1,201 1 2 13 2,453
Using Machine Learning to Predict Realized Variance 0 0 2 57 1 1 10 62
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 29 0 0 2 92
Valuing Finite-Lived Options as Perpetual 0 0 1 299 0 0 2 857
Variance Risk Premia 0 0 2 551 0 0 4 1,382
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 327 1 1 2 719
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 0 0 75
Total Working Papers 0 6 33 5,227 7 19 121 15,355
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 2 173
A PDE approach to jump-diffusions 0 0 2 12 0 0 2 61
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 28 0 0 2 99
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 23 0 0 0 87
A functional analysis approach to the static replication of European options 0 0 0 0 0 0 0 1
A jump to default extended CEV model: an application of Bessel processes 0 0 2 42 1 2 6 235
A new approach for option pricing under stochastic volatility 0 1 3 132 0 1 6 293
A note on sufficient conditions for no arbitrage 2 2 6 82 3 5 14 218
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 2 2 3 31 2 3 8 109
Additive logistic processes in option pricing 0 0 0 1 0 1 3 9
An Expanded Local Variance Gamma Model 0 0 2 2 0 1 4 6
Analyzing volatility risk and risk premium in option contracts: A new theory 0 5 13 93 2 16 55 348
Bounded Brownian Motion 1 1 1 14 3 3 4 80
FX options in target zones 1 1 2 4 1 1 2 17
Factor Models for Option Pricing 0 1 2 24 0 2 4 62
First-order calculus and option pricing 0 0 0 4 2 3 7 29
From local volatility to local Levy models 0 0 0 2 0 1 1 21
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 11 16 23
Hedging insurance books 0 0 1 4 0 0 1 22
Hedging variance options on continuous semimartingales 0 1 1 16 0 1 1 88
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 0 0 0 9
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 1 8 0 1 3 26
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 0 2 51
MAXIMUM DRAWDOWN INSURANCE 0 0 1 5 0 0 6 27
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 0 58 0 0 1 158
On the hedging of options on exploding exchange rates 1 1 1 7 2 2 4 66
On the qualitative effect of volatility and duration on prices of Asian options 0 0 2 19 0 0 7 88
Optimal investment in derivative securities 0 1 1 220 0 1 1 762
Optimal positioning in derivative securities 1 4 10 118 1 7 25 329
Optimal rates from eigenvalues 0 0 0 1 0 0 0 12
Option Profit and Loss Attribution and Pricing: A New Framework 1 5 13 30 5 18 60 173
Options on realized variance and convex orders 0 1 1 1 0 1 1 4
Pricing and hedging in incomplete markets 0 0 3 120 0 1 6 258
Pricing options on realized variance 0 0 0 64 1 1 1 242
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 0 101
Randomization and the American Put 0 0 0 0 0 0 0 250
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 0 0 0
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 33 0 0 0 92
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 1 2 0 0 1 8
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 1 1 0 0 3 3
Spiking the Volatility Punch 0 0 0 0 1 1 1 5
Static Hedging of Standard Options 0 0 0 2 1 2 5 19
Static Hedging of Standard Options 0 1 1 14 1 2 3 52
Stochastic Volatility for Lévy Processes 0 0 1 82 0 0 3 230
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 78 0 0 2 326
Stochastic skew in currency options 1 2 4 129 4 10 22 429
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 1 3 8 78 1 4 14 359
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 1 3 5 0 2 5 16
The Fine Structure of Asset Returns: An Empirical Investigation 1 1 4 240 1 1 8 887
The Finite Moment Log Stable Process and Option Pricing 0 0 2 3 1 1 3 19
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 3 7 445 1 4 20 1,262
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 0 2 0 2 2 31
The Variance Gamma Process and Option Pricing 1 6 35 106 6 19 107 361
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 45 1 2 3 159
Time-changed Levy processes and option pricing 0 1 6 231 1 4 12 693
Two extensions to barrier option valuation 1 2 12 35 1 3 17 114
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 1 52
Variance Risk Premiums 0 0 1 8 0 1 10 53
Variance Risk Premiums 0 0 6 136 0 0 12 470
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 1 60
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 0 0 28
Volatility Derivatives 2 2 15 140 4 7 35 422
What Type of Process Underlies Options? A Simple Robust Test 0 1 3 39 1 2 10 207
Total Journal Articles 16 49 184 3,166 48 150 555 10,894
1 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 9 0 0 5 41
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 4 0 0 0 13
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 1 1 1 12 2 2 3 38
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 1 4 5 15 1 4 9 35
STATIC HEDGING OF EXOTIC OPTIONS 0 1 4 6 0 2 8 25
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 3 27 0 3 15 113
Total Chapters 2 6 15 73 3 11 40 265

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Statistics updated 2023-03-10