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 12 63
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 1 1 3 21
ADOL - Markovian approximation of rough lognormal model 0 1 1 17 2 4 7 48
An Expanded Local Variance Gamma model 0 0 0 6 1 3 4 47
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 1 2 3 46
FX Options in Target Zone 0 0 2 10 2 5 9 68
Generalizing Geometric Brownian Motion 0 0 1 17 0 0 5 54
Geometric Local Variance Gamma model 0 0 0 4 0 1 2 34
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 0 22 2 3 5 26
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 2 3 71
On the Qualitative Effect of Volatility and Duration on Prices of Asian Options 0 0 0 82 1 1 1 266
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 1 4 49 0 1 9 176
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 1 1 1 1,372
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 2 2 2 19
Randomization and the American Put 0 0 0 284 0 2 4 1,062
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 1 2 4 13
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 0 1 15 1 2 7 33
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 0 1 1 21
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 2 2 24
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 1 1 2 37
Static Hedging of Standard Options 0 1 3 1,231 3 9 22 3,685
Stochastic Skew in Currency Options 0 0 1 529 1 3 5 1,641
Stochastic Volatility for Levy Processes 0 0 0 5 0 0 1 47
The Finite Moment Log Stable Process and Option Pricing 0 0 1 481 5 5 6 1,272
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 0 5 10 2,478
Using Machine Learning to Predict Realized Variance 0 0 2 63 1 3 6 88
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 1 3 6 100
Valuing Finite-Lived Options as Perpetual 0 0 0 301 1 1 1 860
Variance Risk Premia 1 2 2 556 4 7 22 1,416
Vol, Skew, and Smile Trading 4 7 36 92 6 9 53 127
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 4 5 8 734
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 3 4 7 87
Total Working Papers 5 12 56 5,469 46 93 236 16,165

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 1 1 2 65
A Simple Robust Link Between American Puts and Credit Protection 2 2 5 38 2 3 9 124
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 1 1 2 94
A functional analysis approach to the static replication of European options 0 0 1 1 1 1 7 11
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 3 3 6 244
A new approach for option pricing under stochastic volatility 0 0 0 132 2 9 11 310
A note on sufficient conditions for no arbitrage 0 0 2 89 0 6 15 257
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 37 4 7 9 135
Additive logistic processes in option pricing 0 0 0 1 2 4 6 17
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 0 1 4 0 1 8 17
Analyzing volatility risk and risk premium in option contracts: A new theory 1 2 6 121 2 7 29 435
Bounded Brownian Motion 0 0 1 15 2 2 8 94
Convex duality in continuous option pricing models 0 0 2 6 0 4 10 15
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 5 12 0 0 9 27
Derivatives pricing under bilateral counterparty risk 0 0 0 0 0 0 1 1
Deriving derivatives of derivative securities 0 1 2 2 1 3 4 4
FX options in target zones 0 0 0 4 0 0 1 22
Factor Models for Option Pricing 0 0 2 34 0 3 9 85
First-order calculus and option pricing 0 0 0 4 0 1 1 33
From local volatility to local Levy models 0 0 0 4 1 3 6 29
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 2 4 5 28
Hedging insurance books 0 0 0 4 1 3 3 27
Hedging variance options on continuous semimartingales 0 0 0 16 2 3 3 93
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 0 2 3 15
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 0 12 1 2 4 39
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 1 1 14 2 3 4 57
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 2 2 2 32
Markets, profits, capital, leverage and return 0 0 0 0 1 3 3 3
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 0 1 4 168
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 1 1 4 96
Optimal investment in derivative securities 0 0 0 221 1 1 1 766
Optimal positioning in derivative securities 0 0 5 139 0 0 13 393
Optimal rates from eigenvalues 0 0 0 1 2 2 2 14
Option Profit and Loss Attribution and Pricing: A New Framework 1 1 3 50 4 4 15 250
Option valuation using the fast Fourier transform 0 1 5 5 2 9 19 19
Options on realized variance and convex orders 0 0 0 1 0 0 0 5
Pricing and hedging in incomplete markets 0 0 0 123 0 1 3 268
Pricing options on realized variance 0 0 0 64 0 1 3 249
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 1 4 106
Randomization and the American Put 0 0 0 0 1 2 3 257
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 1 2 4 7
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 1 1 1 97
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 1 1 6 0 1 2 15
Saddlepoint methods for option pricing 0 0 0 0 0 1 4 4
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 0 1 3 8
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 2 1 1 3 5
Spiking the Volatility Punch 0 0 0 0 0 0 0 7
Static Hedging of Standard Options 0 0 0 16 4 7 9 66
Static Hedging of Standard Options 0 0 1 5 2 3 8 37
Static replication of European standard dispersion options 0 0 1 4 1 1 7 13
Stochastic Volatility for Lévy Processes 0 0 0 83 0 2 7 245
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 1 1 4 338
Stochastic skew in currency options 0 0 0 133 3 5 10 463
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 1 1 1 88 1 3 6 380
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 1 1 24
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 6 248 3 6 17 921
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 4 6 10 33
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 2 2 4 459 4 5 20 1,315
The Valuation of Executive Stock Options in an Intensity-Based Framework 1 1 1 4 1 2 3 37
The Variance Gamma Process and Option Pricing 1 6 10 161 4 27 59 551
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 2 50 1 1 4 173
Time-changed Levy processes and option pricing 0 0 1 243 3 7 12 743
Two extensions to barrier option valuation 0 0 4 50 0 1 5 133
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 2 5 5 58
Variance Risk Premiums 0 2 7 160 6 13 34 546
Variance Risk Premiums 0 0 5 33 2 2 18 117
Variance swaps on time-changed Lévy processes 0 0 0 12 2 2 4 66
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 3 4 5 35
Volatility Derivatives 0 1 8 160 2 6 30 494
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 41 1 2 7 222
Total Journal Articles 10 25 99 3,538 97 223 556 12,302
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 2 14 0 0 5 53
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 1 2 3 17
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 1 17 0 2 5 53
Option Pricing Generators 0 0 0 1 0 2 4 7
Probabilistic Interpretation of Black Implied Volatility 0 0 2 8 1 1 6 22
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 4 26 0 1 8 53
STATIC HEDGING OF EXOTIC OPTIONS 0 0 0 9 0 2 7 44
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 3 5 33 4 7 13 139
Total Chapters 1 3 14 113 6 17 51 388

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Statistics updated 2025-12-06