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 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 0 4 18 60
An Expanded Local Variance Gamma model 0 0 0 6 1 6 12 56
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 0 4 10 117
Determining Optimal Trading Rules without Backtesting 0 1 1 17 1 8 20 63
FX Options in Target Zone 0 0 1 10 0 3 20 82
Generalizing Geometric Brownian Motion 0 0 0 17 0 2 7 60
Geometric Local Variance Gamma model 0 0 0 4 0 2 9 42
Local Variance Gamma and Explicit Calibration to Option Prices 0 0 1 23 0 2 14 37
On the Hedging of Options On Exploding Exchange Rates 0 0 0 10 1 3 8 76
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 2 50 1 4 15 189
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 2 9 26
Randomization and the American Put 0 0 0 284 1 4 9 1,068
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 1 6 0 4 15 24
Robust replication of barrier-style claims on price and volatility 0 0 0 6 0 0 5 27
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 2 7 19 48
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 3 11 31
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 3 11 46
Static Hedging of Standard Options 0 0 2 1,232 1 15 48 3,720
Stochastic Skew in Currency Options 0 0 0 529 0 7 23 1,661
Stochastic Volatility for Levy Processes 0 0 0 5 1 5 13 60
The Finite Moment Log Stable Process and Option Pricing 0 1 1 482 0 4 25 1,292
Time-Changed Levy Processes and Option Pricing 0 0 1 1,207 1 4 20 2,493
Using Machine Learning to Predict Realized Variance 1 1 2 65 1 6 27 111
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 0 3 14 111
Valuing Finite-Lived Options as Perpetual 0 0 0 301 0 3 9 868
Variance Risk Premia 2 3 9 563 5 16 80 1,486
Vol, Skew, and Smile Trading 1 3 25 101 1 8 47 152
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 2 3 18 100
Total Working Papers 4 9 48 5,494 20 145 611 16,644

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 3 178
A PDE approach to jump-diffusions 0 0 0 12 0 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 0 1 2 3 0 7 18 26
A jump to default extended CEV model: an application of Bessel processes 0 1 1 43 0 4 14 254
A new approach for option pricing under stochastic volatility 0 0 0 132 1 3 17 317
A note on sufficient conditions for no arbitrage 1 5 8 96 2 11 30 278
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 2 5 41 0 6 35 162
Additive logistic processes in option pricing 0 0 0 1 0 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 0 3 12 130 3 11 55 477
Bounded Brownian Motion 0 0 1 15 0 2 8 98
Convex duality in continuous option pricing models 0 0 1 6 1 9 19 28
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 2 12 2 5 13 37
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 2 14 35
Factor Models for Option Pricing 0 1 3 36 0 4 14 93
First-order calculus and option pricing 0 1 1 5 1 5 10 42
From local volatility to local Levy models 0 0 0 4 1 5 12 37
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 6 14 104
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 1 3 3 4 15 27
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 1 13 0 1 13 49
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 2 15 0 1 13 67
MAXIMUM DRAWDOWN INSURANCE 1 1 1 7 2 3 13 43
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 0 1 1 22 0 2 14 108
Optimal investment in derivative securities 0 0 0 221 0 1 5 770
Optimal positioning in derivative securities 0 0 0 139 0 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 0 1 5 53 2 12 32 275
Option valuation using the fast Fourier transform 2 3 8 11 5 12 34 41
Options on realized variance and convex orders 0 0 0 1 0 3 14 19
Pricing and hedging in incomplete markets 0 0 0 123 0 2 8 275
Pricing options on realized variance 0 0 0 64 0 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 0 4 15 20
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 1 4 100
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 3 8 0 2 10 23
Saddlepoint methods for option pricing 0 0 0 0 0 6 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 1 6 0 4 17 51
Static Hedging of Standard Options 0 0 0 16 1 7 25 83
Static replication of European standard dispersion options 0 1 1 5 5 8 16 27
Stochastic Volatility for Lévy Processes 1 2 2 85 1 4 14 256
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 80 0 1 5 342
Stochastic skew in currency options 0 0 0 133 0 1 14 471
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 0 3 12 389
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 0 2 8 31
The Fine Structure of Asset Returns: An Empirical Investigation 1 4 10 254 3 8 29 941
The Finite Moment Log Stable Process and Option Pricing 1 2 2 7 1 6 17 44
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 0 1 6 463 1 9 31 1,338
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 0 1 4 0 2 7 41
The Variance Gamma Process and Option Pricing 1 7 19 173 5 19 79 595
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 0 2 11 182
Time-changed Levy processes and option pricing 0 1 3 245 0 13 42 777
Two extensions to barrier option valuation 0 1 5 51 0 5 15 143
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 4 15 68
Variance Risk Premiums 3 10 24 181 19 55 121 650
Variance Risk Premiums 0 1 3 35 4 11 24 137
Variance swaps on time-changed Lévy processes 0 0 0 12 0 4 12 76
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 1 3 12 43
Volatility Derivatives 0 0 5 164 6 14 52 537
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 2 4 8 228
Total Journal Articles 11 50 149 3,641 72 369 1,227 13,226
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 0 4 24 74
AN ALTERNATIVE APPROACH FOR VALUING CONTINUOUS CASH FLOWS 0 0 0 5 1 6 11 25
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 0 17 0 6 17 68
Option Pricing Generators 0 1 1 2 0 3 9 13
Probabilistic Interpretation of Black Implied Volatility 0 0 2 9 0 2 11 30
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 0 0 1 27 0 3 11 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 0 7 35 1 9 35 163
Total Chapters 0 1 15 120 2 34 127 485

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Statistics updated 2026-07-10