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 6 7 17 70
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 1 3 5 23
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 5 8 13 54
An Expanded Local Variance Gamma model 0 0 0 6 1 2 5 48
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 2 3 5 110
Determining Optimal Trading Rules without Backtesting 0 0 0 16 3 5 7 50
FX Options in Target Zone 0 0 2 10 4 11 17 77
Generalizing Geometric Brownian Motion 0 0 0 17 3 4 7 58
Geometric Local Variance Gamma model 0 0 0 4 5 5 7 39
Local Variance Gamma and Explicit Calibration to Option Prices 1 1 1 23 3 10 13 34
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 1 1 4 72
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 2 5 5 270
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 1 5 50 5 7 14 183
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 2 6 6 1,377
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 1 5 5 22
Randomization and the American Put 0 0 0 284 1 2 6 1,064
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 3 5 8 17
Robust replication of barrier-style claims on price and volatility 0 0 0 6 1 2 3 24
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 5 9 15 41
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 4 5 6 26
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 5 6 28
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 1 2 37
Static Hedging of Standard Options 0 1 3 1,232 8 14 30 3,696
Stochastic Skew in Currency Options 0 0 1 529 6 11 14 1,651
Stochastic Volatility for Levy Processes 0 0 0 5 6 7 7 54
The Finite Moment Log Stable Process and Option Pricing 0 0 1 481 5 10 11 1,277
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 7 8 17 2,486
Using Machine Learning to Predict Realized Variance 0 1 3 64 2 14 19 101
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 0 6 10 105
Valuing Finite-Lived Options as Perpetual 0 0 0 301 2 4 4 863
Variance Risk Premia 0 1 2 556 25 40 49 1,452
Vol, Skew, and Smile Trading 3 9 32 97 7 17 51 138
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 15 22 26 752
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 7 11 14 95
Total Working Papers 4 14 54 5,478 149 275 428 16,394

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 2 3 4 178
A PDE approach to jump-diffusions 0 0 0 12 4 5 6 69
A Simple Robust Link Between American Puts and Credit Protection 0 2 4 38 3 5 11 127
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 1 2 3 95
A functional analysis approach to the static replication of European options 0 0 1 1 3 5 10 15
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 3 7 9 248
A new approach for option pricing under stochastic volatility 0 0 0 132 1 5 14 313
A note on sufficient conditions for no arbitrage 1 1 3 90 5 8 23 265
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 2 2 3 39 13 22 27 153
Additive logistic processes in option pricing 0 0 0 1 3 6 9 21
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 3 4 4 4
An Expanded Local Variance Gamma Model 0 0 1 4 1 1 9 18
Analyzing volatility risk and risk premium in option contracts: A new theory 0 3 6 123 5 19 39 452
Bounded Brownian Motion 0 0 1 15 2 4 10 96
Convex duality in continuous option pricing models 0 0 2 6 2 3 11 18
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 4 12 1 1 7 28
Derivatives pricing under bilateral counterparty risk 0 0 0 0 1 1 2 2
Deriving derivatives of derivative securities 1 1 3 3 2 3 6 6
FX options in target zones 0 0 0 4 6 6 7 28
Factor Models for Option Pricing 0 0 1 34 1 2 8 87
First-order calculus and option pricing 0 0 0 4 1 2 3 35
From local volatility to local Levy models 0 0 0 4 2 3 8 31
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 2 6 9 32
Hedging insurance books 0 0 0 4 2 4 6 30
Hedging variance options on continuous semimartingales 0 0 0 16 4 6 7 97
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 5 6 9 21
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 0 12 4 7 9 45
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 1 1 2 15 2 6 7 61
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 5 9 9 39
Markets, profits, capital, leverage and return 0 1 1 1 3 6 8 8
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 2 3 7 171
On the hedging of options on exploding exchange rates 0 0 0 7 3 4 4 74
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 2 5 7 100
Optimal investment in derivative securities 0 0 0 221 1 4 4 769
Optimal positioning in derivative securities 0 0 4 139 3 3 13 396
Optimal rates from eigenvalues 0 0 0 1 3 7 7 19
Option Profit and Loss Attribution and Pricing: A New Framework 1 2 4 51 5 14 21 260
Option valuation using the fast Fourier transform 0 0 5 5 5 7 24 24
Options on realized variance and convex orders 0 0 0 1 9 10 10 15
Pricing and hedging in incomplete markets 0 0 0 123 2 2 5 270
Pricing options on realized variance 0 0 0 64 6 7 9 256
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 5 108
Randomization and the American Put 0 0 0 0 4 6 8 262
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 1 3 6 9
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 1 2 2 98
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 1 6 1 2 4 17
Saddlepoint methods for option pricing 0 0 0 0 0 0 4 4
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 2 3 6 11
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 2 1 2 4 6
Spiking the Volatility Punch 0 0 0 0 1 2 2 9
Static Hedging of Standard Options 0 0 0 5 5 7 10 42
Static Hedging of Standard Options 0 0 0 16 1 9 13 71
Static replication of European standard dispersion options 0 0 1 4 1 4 9 16
Stochastic Volatility for Lévy Processes 0 0 0 83 6 6 13 251
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 2 4 6 341
Stochastic skew in currency options 0 0 0 133 3 8 13 468
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 1 2 2 89 3 5 9 384
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 4 5 6 29
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 7 249 5 10 23 928
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 2 8 13 37
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 3 4 460 2 12 24 1,323
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 1 1 4 2 3 5 39
The Variance Gamma Process and Option Pricing 4 5 13 165 10 19 65 566
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 2 50 2 5 8 177
Time-changed Levy processes and option pricing 0 1 2 244 6 13 19 753
Two extensions to barrier option valuation 0 0 4 50 3 3 8 136
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 4 8 11 64
Variance Risk Premiums 2 4 10 164 12 28 54 568
Variance Risk Premiums 0 0 4 33 2 5 17 120
Variance swaps on time-changed Lévy processes 0 0 0 12 2 7 8 71
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 3 8 10 40
Volatility Derivatives 2 2 10 162 13 22 48 514
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 41 0 3 8 224
Total Journal Articles 16 33 111 3,561 238 457 846 12,662
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 1 1 3 15 14 14 19 67
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 2 3 5 19
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 3 4 7 57
Option Pricing Generators 0 0 0 1 2 2 5 9
Probabilistic Interpretation of Black Implied Volatility 0 0 1 8 5 6 10 27
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 1 4 27 4 7 13 60
STATIC HEDGING OF EXOTIC OPTIONS 0 0 0 9 2 3 10 47
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 2 6 34 2 14 22 149
Total Chapters 1 4 14 116 34 53 91 435

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-02-12