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 3 11 60
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 1 2 20
ADOL - Markovian approximation of rough lognormal model 1 1 1 17 1 3 4 45
An Expanded Local Variance Gamma model 0 0 0 6 0 0 2 44
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 0 2 107
Determining Optimal Trading Rules without Backtesting 0 0 0 16 0 1 2 44
FX Options in Target Zone 0 1 2 10 0 1 4 63
Generalizing Geometric Brownian Motion 0 0 2 17 0 1 8 54
Geometric Local Variance Gamma model 0 0 0 4 0 0 1 33
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 0 22 0 0 4 23
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 1 2 69
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 0 0 0 265
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 1 1 4 49 1 2 9 176
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 0 0 1,371
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 0 0 1 17
Randomization and the American Put 0 0 0 284 0 1 3 1,060
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 0 2 2 11
Robust replication of barrier-style claims on price and volatility 0 0 0 6 0 0 1 22
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 1 1 15 0 2 7 31
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 0 0 1 20
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 0 22
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 1 5 36
Static Hedging of Standard Options 0 0 3 1,230 0 4 16 3,676
Stochastic Skew in Currency Options 0 0 1 529 0 0 2 1,638
Stochastic Volatility for Levy Processes 0 0 0 5 0 0 1 47
The Finite Moment Log Stable Process and Option Pricing 0 0 2 481 0 0 4 1,267
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 0 0 6 2,473
Using Machine Learning to Predict Realized Variance 0 0 3 63 0 1 8 85
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 1 1 5 98
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 0 0 859
Variance Risk Premia 0 0 0 554 0 3 16 1,409
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 1 1 4 730
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 1 4 83
Total Working Papers 2 4 21 5,374 4 30 137 15,958
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 2 175
A PDE approach to jump-diffusions 0 0 0 12 0 0 1 64
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 36 0 0 7 121
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 0 0 2 93
A functional analysis approach to the static replication of European options 0 0 1 1 0 2 8 10
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 0 1 4 241
A new approach for option pricing under stochastic volatility 0 0 0 132 1 2 4 302
A note on sufficient conditions for no arbitrage 0 1 3 89 1 4 11 252
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 0 0 36 1 2 6 129
Additive logistic processes in option pricing 0 0 0 1 0 1 3 13
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 0 0 0 0
An Expanded Local Variance Gamma Model 0 1 1 4 0 4 7 16
Analyzing volatility risk and risk premium in option contracts: A new theory 0 1 5 119 0 6 26 428
Bounded Brownian Motion 0 1 1 15 0 2 7 92
Convex duality in continuous option pricing models 0 1 4 6 1 3 9 12
Decomposing Long Bond Returns: A Decentralized Theory* 0 2 6 12 0 3 10 27
Derivatives pricing under bilateral counterparty risk 0 0 0 0 0 0 1 1
Deriving derivatives of derivative securities 0 0 1 1 1 1 2 2
FX options in target zones 0 0 0 4 0 1 3 22
Factor Models for Option Pricing 0 1 2 34 0 3 6 82
First-order calculus and option pricing 0 0 0 4 0 0 1 32
From local volatility to local Levy models 0 0 0 4 0 1 3 26
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 0 1 24
Hedging insurance books 0 0 0 4 0 0 0 24
Hedging variance options on continuous semimartingales 0 0 0 16 0 0 1 90
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 1 2 2 14
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 2 12 0 1 4 37
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 0 1 54
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 0 0 1 30
Markets, profits, capital, leverage and return 0 0 0 0 0 0 0 0
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 1 1 60 0 1 3 167
On the hedging of options on exploding exchange rates 0 0 0 7 0 0 1 70
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 0 1 4 95
Optimal investment in derivative securities 0 0 0 221 0 0 0 765
Optimal positioning in derivative securities 0 0 6 139 0 0 17 393
Optimal rates from eigenvalues 0 0 0 1 0 0 0 12
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 3 49 0 3 13 246
Option valuation using the fast Fourier transform 0 1 4 4 1 4 11 11
Options on realized variance and convex orders 0 0 0 1 0 0 1 5
Pricing and hedging in incomplete markets 0 0 1 123 0 0 3 267
Pricing options on realized variance 0 0 0 64 0 0 2 248
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 4 105
Randomization and the American Put 0 0 0 0 0 1 1 255
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 0 2 5
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 0 0 96
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 1 1 1 6 1 2 2 15
Saddlepoint methods for option pricing 0 0 0 0 0 0 3 3
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 1 3 3 8
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 2 0 1 2 4
Spiking the Volatility Punch 0 0 0 0 0 0 0 7
Static Hedging of Standard Options 0 0 0 16 0 1 3 59
Static Hedging of Standard Options 0 0 1 5 0 0 6 34
Static replication of European standard dispersion options 0 0 1 4 0 1 6 12
Stochastic Volatility for Lévy Processes 0 0 0 83 0 1 5 243
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 0 0 4 337
Stochastic skew in currency options 0 0 0 133 2 3 7 460
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 1 87 0 0 4 377
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 0 0 23
The Fine Structure of Asset Returns: An Empirical Investigation 0 2 5 246 0 3 12 915
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 0 0 4 27
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 0 4 457 0 3 19 1,310
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 0 3 1 2 2 36
The Variance Gamma Process and Option Pricing 2 3 7 157 8 16 46 532
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 2 50 0 1 3 172
Time-changed Levy processes and option pricing 0 1 1 243 0 1 5 736
Two extensions to barrier option valuation 0 4 5 50 0 4 6 132
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 0 53
Variance Risk Premiums 0 1 9 33 0 2 22 115
Variance Risk Premiums 1 2 6 159 4 8 28 537
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 2 64
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 1 1 2 32
Volatility Derivatives 0 0 10 159 2 5 35 490
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 41 0 0 6 220
Total Journal Articles 4 25 101 3,517 27 107 432 12,106
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 2 2 14 0 3 6 53
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 0 1 1 15
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 1 17 0 0 3 51
Option Pricing Generators 0 0 0 1 1 2 3 6
Probabilistic Interpretation of Black Implied Volatility 0 1 3 8 0 2 6 21
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 4 26 0 0 7 52
STATIC HEDGING OF EXOTIC OPTIONS 0 0 0 9 0 2 6 42
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 3 4 31 1 5 10 133
Total Chapters 1 6 14 111 2 15 42 373

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Statistics updated 2025-10-06