Access Statistics for Peter P. Carr

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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 1 20 0 0 2 41
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 0 0 0 16
ADOL - Markovian approximation of rough lognormal model 0 0 0 14 1 1 1 36
An Expanded Local Variance Gamma model 0 0 1 5 0 0 3 40
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 0 1 103
Determining Optimal Trading Rules without Backtesting 0 0 1 16 1 2 3 37
FX Options in Target Zone 0 0 0 8 0 0 0 58
Generalizing Geometric Brownian Motion 1 1 2 15 2 3 6 42
Geometric Local Variance Gamma model 0 0 2 3 1 1 4 29
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 0 22 0 0 0 18
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 0 0 2 66
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 0 0 1 43 0 0 3 163
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 0 0 1 1,371
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 1 8 0 0 2 16
Randomization and the American Put 0 0 0 284 0 2 3 1,055
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 0 0 2 6
Robust replication of barrier-style claims on price and volatility 0 0 0 5 1 1 1 18
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 4 9 0 2 7 14
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 2 0 0 3 16
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 2 6 1 1 4 19
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 2 4 0 1 3 29
Static Hedging of Standard Options 1 1 1 1,226 2 4 13 3,649
Stochastic Skew in Currency Options 0 0 0 528 0 0 2 1,634
Stochastic Volatility for Levy Processes 0 0 0 5 1 1 2 44
The Finite Moment Log Stable Process and Option Pricing 0 0 0 477 1 2 19 1,260
Time-Changed Levy Processes and Option Pricing 0 0 3 1,203 0 0 12 2,461
Using Machine Learning to Predict Realized Variance 0 1 2 59 0 1 7 67
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 0 0 0 92
Valuing Finite-Lived Options as Perpetual 0 0 3 301 0 0 3 859
Variance Risk Premia 0 0 0 551 0 0 4 1,385
What Type of Process Underlies Options? A Simple Robust Test 2 2 2 329 2 2 4 721
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 0 0 1 76
Total Working Papers 4 5 28 5,245 13 24 118 15,441
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 0 173
A PDE approach to jump-diffusions 0 0 0 12 0 0 1 62
A Simple Robust Link Between American Puts and Credit Protection 0 1 3 31 2 3 5 104
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 1 24 0 1 2 89
A functional analysis approach to the static replication of European options 0 0 0 0 1 1 1 2
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 0 0 4 236
A new approach for option pricing under stochastic volatility 0 0 1 132 1 1 3 295
A note on sufficient conditions for no arbitrage 1 1 3 83 2 2 11 224
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 3 3 7 35 4 5 10 115
Additive logistic processes in option pricing 0 0 0 1 0 0 1 9
An Expanded Local Variance Gamma Model 0 0 0 2 0 0 2 6
Analyzing volatility risk and risk premium in option contracts: A new theory 2 4 17 105 4 8 49 379
Bounded Brownian Motion 0 0 1 14 0 0 5 82
Decomposing Long Bond Returns: A Decentralized Theory* 0 1 3 3 0 2 4 4
FX options in target zones 0 0 1 4 0 1 2 18
Factor Models for Option Pricing 0 0 1 24 0 0 3 63
First-order calculus and option pricing 0 0 0 4 1 1 4 30
From local volatility to local Levy models 0 0 0 2 0 0 1 21
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 0 0 12 23
Hedging insurance books 0 0 0 4 1 1 1 23
Hedging variance options on continuous semimartingales 0 0 1 16 0 0 1 88
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 0 1 2 11
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 0 8 0 1 3 28
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 0 0 51
MAXIMUM DRAWDOWN INSURANCE 0 0 0 5 0 0 1 27
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 1 1 59 0 3 4 162
On the hedging of options on exploding exchange rates 0 0 1 7 0 0 2 66
On the qualitative effect of volatility and duration on prices of Asian options 0 0 0 19 0 0 0 88
Optimal investment in derivative securities 0 0 2 221 0 0 4 765
Optimal positioning in derivative securities 1 4 13 127 3 11 34 355
Optimal rates from eigenvalues 0 0 0 1 0 0 0 12
Option Profit and Loss Attribution and Pricing: A New Framework 1 2 11 36 3 11 49 201
Options on realized variance and convex orders 0 0 1 1 0 0 1 4
Pricing and hedging in incomplete markets 0 1 1 121 0 1 3 260
Pricing options on realized variance 0 0 0 64 0 0 1 242
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 0 101
Randomization and the American Put 0 0 0 0 0 0 0 250
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 0 0 0 0
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 33 1 1 2 94
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 0 2 0 0 2 10
Seabirds enhance coral reef productivity and functioning in the absence of invasive rats 0 1 1 2 0 1 1 4
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 1 0 0 1 1
Spiking the Volatility Punch 0 0 0 0 0 0 2 6
Static Hedging of Standard Options 2 2 2 4 3 3 5 22
Static Hedging of Standard Options 0 0 2 15 1 1 5 55
Static replication of European standard dispersion options 0 0 1 1 0 0 2 3
Stochastic Volatility for Lévy Processes 1 1 2 83 2 3 6 235
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 78 0 1 2 328
Stochastic skew in currency options 0 0 3 130 0 0 28 447
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 6 81 0 2 12 367
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 1 4 8 0 1 6 19
The Fine Structure of Asset Returns: An Empirical Investigation 0 0 1 240 0 0 3 889
The Finite Moment Log Stable Process and Option Pricing 1 1 1 4 1 1 2 20
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 2 2 6 448 4 4 17 1,271
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 0 2 0 0 2 31
The Variance Gamma Process and Option Pricing 2 11 30 127 16 32 98 430
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 1 46 1 2 7 163
Time-changed Levy processes and option pricing 0 0 4 233 3 5 21 707
Two extensions to barrier option valuation 0 4 12 41 1 5 16 122
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 2 53
Variance Risk Premiums 0 0 0 8 1 1 6 56
Variance Risk Premiums 2 3 3 139 3 7 12 481
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 1 61
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 0 0 1 29
Volatility Derivatives 0 2 10 143 0 5 28 435
What Type of Process Underlies Options? A Simple Robust Test 0 0 2 39 0 0 3 207
Total Journal Articles 18 47 161 3,262 59 129 519 11,215
1 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 0 9 1 1 2 43
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 1 5 0 0 1 14
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 1 1 4 15 2 3 10 45
Probabilistic Interpretation of Black Implied Volatility 0 1 5 5 0 2 10 10
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 1 7 17 1 2 11 39
STATIC HEDGING OF EXOTIC OPTIONS 0 0 2 7 1 1 9 31
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 0 0 0 27 0 0 9 117
Total Chapters 1 3 19 85 5 9 52 299

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Statistics updated 2023-11-05