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 2 6 20 76
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 3 3 7 26
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 3 5 18 59
An Expanded Local Variance Gamma model 0 0 0 6 3 5 10 53
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 4 7 11 117
Determining Optimal Trading Rules without Backtesting 0 0 0 16 5 10 17 60
FX Options in Target Zone 0 0 2 10 3 5 22 82
Generalizing Geometric Brownian Motion 0 0 0 17 2 2 7 60
Geometric Local Variance Gamma model 0 0 0 4 2 3 9 42
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 2 3 16 37
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 2 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 4 50 3 5 16 188
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 1 2 8 1,379
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 2 4 9 26
Randomization and the American Put 0 0 0 284 2 2 7 1,066
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 1 1 6 4 7 15 24
Robust replication of barrier-style claims on price and volatility 0 0 0 6 0 3 6 27
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 5 5 18 46
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 3 9 29
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 3 9 31
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 3 9 11 46
Static Hedging of Standard Options 0 0 2 1,232 7 16 43 3,712
Stochastic Skew in Currency Options 0 0 0 529 3 6 19 1,657
Stochastic Volatility for Levy Processes 0 0 0 5 4 5 12 59
The Finite Moment Log Stable Process and Option Pricing 1 1 1 482 4 15 25 1,292
Time-Changed Levy Processes and Option Pricing 0 1 1 1,207 3 6 19 2,492
Using Machine Learning to Predict Realized Variance 0 0 2 64 5 9 27 110
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 3 6 14 111
Valuing Finite-Lived Options as Perpetual 0 0 0 301 2 4 8 867
Variance Risk Premia 0 4 6 560 9 27 75 1,479
Vol, Skew, and Smile Trading 1 2 31 99 5 11 54 149
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 332 3 3 27 755
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 1 3 16 98
Total Working Papers 2 9 53 5,487 101 206 596 16,600

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 2 2 7 71
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 38 1 2 9 129
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 2 3 5 98
A functional analysis approach to the static replication of European options 0 1 2 2 3 7 15 22
A jump to default extended CEV model: an application of Bessel processes 1 1 1 43 3 5 13 253
A new approach for option pricing under stochastic volatility 0 0 0 132 1 2 15 315
A note on sufficient conditions for no arbitrage 4 5 8 95 7 9 31 274
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1 1 4 40 5 8 34 161
Additive logistic processes in option pricing 0 0 0 1 4 6 15 27
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 2 3 7 7
An Expanded Local Variance Gamma Model 0 0 1 4 3 3 10 21
Analyzing volatility risk and risk premium in option contracts: A new theory 2 6 12 129 6 20 55 472
Bounded Brownian Motion 0 0 1 15 1 1 10 97
Convex duality in continuous option pricing models 0 0 1 6 5 6 16 24
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 4 12 2 6 12 34
Derivatives pricing under bilateral counterparty risk 0 0 0 0 2 3 4 5
Deriving derivatives of derivative securities 0 0 2 3 1 1 6 7
FX options in target zones 0 0 0 4 2 7 14 35
Factor Models for Option Pricing 0 1 2 35 2 4 12 91
First-order calculus and option pricing 1 1 1 5 3 5 8 40
From local volatility to local Levy models 0 0 0 4 3 4 12 35
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 2 2 10 34
Hedging insurance books 0 0 0 4 2 2 8 32
Hedging variance options on continuous semimartingales 0 0 0 16 6 7 14 104
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 1 1 3 1 3 12 24
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 1 1 13 1 4 13 49
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 2 15 1 6 13 67
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 1 2 11 41
Markets, profits, capital, leverage and return 0 0 1 1 1 1 9 9
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 2 2 8 173
On the hedging of options on exploding exchange rates 0 0 0 7 2 2 6 76
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 0 6 13 106
Optimal investment in derivative securities 0 0 0 221 1 1 5 770
Optimal positioning in derivative securities 0 0 1 139 4 6 12 402
Optimal rates from eigenvalues 0 0 0 1 2 2 9 21
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 5 52 7 10 31 270
Option valuation using the fast Fourier transform 0 3 8 8 4 9 30 33
Options on realized variance and convex orders 0 0 0 1 2 3 13 18
Pricing and hedging in incomplete markets 0 0 0 123 1 4 7 274
Pricing options on realized variance 0 0 0 64 0 0 8 256
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 5 110
Randomization and the American Put 0 0 0 0 1 2 10 264
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 3 10 15 19
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 1 2 4 100
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 2 3 8 2 6 10 23
Saddlepoint methods for option pricing 0 0 0 0 5 6 8 10
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 0 0 2 4 6 12 17
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 0 2 3 3 6 9
Spiking the Volatility Punch 0 0 0 0 0 0 2 9
Static Hedging of Standard Options 0 0 0 16 6 11 24 82
Static Hedging of Standard Options 0 1 1 6 4 9 18 51
Static replication of European standard dispersion options 0 0 0 4 1 4 10 20
Stochastic Volatility for Lévy Processes 0 0 0 83 2 3 13 254
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 1 1 7 342
Stochastic skew in currency options 0 0 0 133 1 3 15 471
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 2 4 12 388
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 1 1 7 30
The Fine Structure of Asset Returns: An Empirical Investigation 1 2 8 251 3 8 29 936
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 2 3 16 40
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 2 5 462 5 11 28 1,334
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 1 1 6 40
The Variance Gamma Process and Option Pricing 3 4 15 169 9 19 73 585
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 2 5 11 182
Time-changed Levy processes and option pricing 0 0 2 244 8 19 37 772
Two extensions to barrier option valuation 1 1 5 51 3 5 13 141
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 3 3 14 67
Variance Risk Premiums 6 13 21 177 22 49 95 617
Variance Risk Premiums 1 2 4 35 6 12 24 132
Variance swaps on time-changed Lévy processes 0 0 0 12 3 4 12 75
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 2 2 11 42
Volatility Derivatives 0 2 11 164 3 12 54 526
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 1 1 5 225
Total Journal Articles 21 51 142 3,612 211 406 1,152 13,068
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 3 6 25 73
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 4 4 9 23
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 6 11 17 68
Option Pricing Generators 0 0 0 1 2 3 8 12
Probabilistic Interpretation of Black Implied Volatility 0 1 2 9 2 3 12 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 2 27 3 3 13 63
STATIC HEDGING OF EXOTIC OPTIONS 0 1 1 10 1 2 10 49
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 1 7 35 5 10 32 159
Total Chapters 0 3 15 119 26 42 126 477

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Statistics updated 2026-05-06