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 6 20 77
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 3 7 26
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 5 18 60
An Expanded Local Variance Gamma model 0 0 0 6 2 7 12 55
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 5 10 117
Determining Optimal Trading Rules without Backtesting 1 1 1 17 2 9 19 62
FX Options in Target Zone 0 0 2 10 0 4 21 82
Generalizing Geometric Brownian Motion 0 0 0 17 0 2 7 60
Geometric Local Variance Gamma model 0 0 0 4 0 3 9 42
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 0 3 14 37
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 3 7 75
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 3 50 0 4 15 188
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 1 8 1,379
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 0 4 9 26
Randomization and the American Put 0 0 0 284 1 3 8 1,067
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 1 6 0 5 15 24
Robust replication of barrier-style claims on price and volatility 0 0 0 6 0 2 5 27
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 0 5 18 46
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 3 10 30
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 8 11 46
Static Hedging of Standard Options 0 0 2 1,232 7 18 47 3,719
Stochastic Skew in Currency Options 0 0 0 529 4 8 23 1,661
Stochastic Volatility for Levy Processes 0 0 0 5 0 5 12 59
The Finite Moment Log Stable Process and Option Pricing 0 1 1 482 0 7 25 1,292
Time-Changed Levy Processes and Option Pricing 0 1 1 1,207 0 5 19 2,492
Using Machine Learning to Predict Realized Variance 0 0 1 64 0 7 26 110
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 0 5 14 111
Valuing Finite-Lived Options as Perpetual 0 0 0 301 1 4 9 868
Variance Risk Premia 1 2 7 561 2 16 76 1,481
Vol, Skew, and Smile Trading 1 2 30 100 2 9 53 151
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 332 0 3 26 755
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 2 16 98
Total Working Papers 3 7 52 5,490 24 174 603 16,624

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 4 178
A PDE approach to jump-diffusions 0 0 0 12 1 3 8 72
A Simple Robust Link Between American Puts and Credit Protection 0 0 2 38 0 1 8 129
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 0 2 5 98
A functional analysis approach to the static replication of European options 1 1 2 3 4 10 18 26
A jump to default extended CEV model: an application of Bessel processes 0 1 1 43 1 4 14 254
A new approach for option pricing under stochastic volatility 0 0 0 132 1 2 16 316
A note on sufficient conditions for no arbitrage 0 5 7 95 2 10 30 276
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 2 5 41 1 6 35 162
Additive logistic processes in option pricing 0 0 0 1 2 6 17 29
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 0 2 7 7
An Expanded Local Variance Gamma Model 0 0 1 4 0 3 9 21
Analyzing volatility risk and risk premium in option contracts: A new theory 1 6 13 130 2 16 56 474
Bounded Brownian Motion 0 0 1 15 1 2 11 98
Convex duality in continuous option pricing models 0 0 1 6 3 9 19 27
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 2 12 1 4 11 35
Derivatives pricing under bilateral counterparty risk 0 0 0 0 0 2 4 5
Deriving derivatives of derivative securities 0 0 2 3 0 1 6 7
FX options in target zones 0 0 0 4 0 3 14 35
Factor Models for Option Pricing 1 1 3 36 2 5 14 93
First-order calculus and option pricing 0 1 1 5 1 6 9 41
From local volatility to local Levy models 0 0 0 4 1 4 11 36
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 2 10 34
Hedging insurance books 0 0 0 4 0 2 8 32
Hedging variance options on continuous semimartingales 0 0 0 16 0 7 14 104
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 1 1 3 0 2 12 24
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 1 1 13 0 2 13 49
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 2 15 0 3 13 67
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 0 1 11 41
Markets, profits, capital, leverage and return 0 0 1 1 0 1 9 9
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 0 2 7 173
On the hedging of options on exploding exchange rates 0 0 0 7 0 2 6 76
On the qualitative effect of volatility and duration on prices of Asian options 1 1 1 22 2 4 14 108
Optimal investment in derivative securities 0 0 0 221 0 1 5 770
Optimal positioning in derivative securities 0 0 0 139 1 5 10 403
Optimal rates from eigenvalues 0 0 0 1 0 2 9 21
Option Profit and Loss Attribution and Pricing: A New Framework 1 2 5 53 3 12 32 273
Option valuation using the fast Fourier transform 1 3 8 9 3 11 32 36
Options on realized variance and convex orders 0 0 0 1 1 4 14 19
Pricing and hedging in incomplete markets 0 0 0 123 1 2 8 275
Pricing options on realized variance 0 0 0 64 1 1 9 257
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 1 5 110
Randomization and the American Put 0 0 0 0 0 1 10 264
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 1 7 16 20
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 1 4 100
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 1 3 8 0 4 10 23
Saddlepoint methods for option pricing 0 0 0 0 1 7 8 11
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 4 12 17
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 2 0 3 6 9
Spiking the Volatility Punch 0 0 0 0 0 0 2 9
Static Hedging of Standard Options 0 0 0 16 0 8 24 82
Static Hedging of Standard Options 0 0 1 6 0 5 17 51
Static replication of European standard dispersion options 1 1 1 5 2 4 11 22
Stochastic Volatility for Lévy Processes 1 1 1 84 1 3 13 255
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 80 0 1 6 342
Stochastic skew in currency options 0 0 0 133 0 3 15 471
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 1 4 13 389
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 1 2 8 31
The Fine Structure of Asset Returns: An Empirical Investigation 2 3 10 253 2 6 30 938
The Finite Moment Log Stable Process and Option Pricing 1 1 1 6 3 6 16 43
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 3 6 463 3 12 30 1,337
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 1 2 7 41
The Variance Gamma Process and Option Pricing 3 7 18 172 5 21 75 590
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 0 3 11 182
Time-changed Levy processes and option pricing 1 1 3 245 5 18 42 777
Two extensions to barrier option valuation 0 1 5 51 2 5 15 143
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 1 4 15 68
Variance Risk Premiums 1 10 22 178 14 46 106 631
Variance Risk Premiums 0 2 3 35 1 10 23 133
Variance swaps on time-changed Lévy processes 0 0 0 12 1 5 12 76
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 2 11 42
Volatility Derivatives 0 2 8 164 5 14 52 531
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 1 2 6 226
Total Journal Articles 18 58 146 3,630 86 381 1,193 13,154
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 5 26 74
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 1 5 10 24
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 0 8 17 68
Option Pricing Generators 1 1 1 2 1 4 9 13
Probabilistic Interpretation of Black Implied Volatility 0 0 2 9 0 2 11 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 2 27 0 3 12 63
STATIC HEDGING OF EXOTIC OPTIONS 0 0 1 10 0 1 9 49
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 7 35 3 10 35 162
Total Chapters 1 2 16 120 6 38 129 483

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Statistics updated 2026-06-04