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 4 13 64
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 1 2 4 22
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 4 8 49
An Expanded Local Variance Gamma model 0 0 0 6 0 3 4 47
Bessel processes, the integral of geometric Brownian motion, and Asian options 0 0 0 38 1 1 3 108
Determining Optimal Trading Rules without Backtesting 0 0 0 16 1 3 4 47
FX Options in Target Zone 0 0 2 10 5 10 13 73
Generalizing Geometric Brownian Motion 0 0 0 17 1 1 5 55
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 5 8 10 31
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 2 3 3 268
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited 1 1 5 50 2 2 10 178
Pollution Reduction, Environmental Uncertainty, and the Irreversibility Effect 0 0 0 0 3 4 4 1,375
Pricing Variance Swaps on Time-Changed Markov Processes 0 0 0 8 2 4 4 21
Randomization and the American Put 0 0 0 284 1 3 5 1,063
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions 0 0 0 5 1 3 5 14
Robust replication of barrier-style claims on price and volatility 0 0 0 6 1 1 2 23
Semi-analytical pricing of barrier options in the time-dependent Heston model 0 0 1 15 3 5 10 36
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 2 2 22
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 3 5 5 27
Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer 0 0 0 5 0 1 2 37
Static Hedging of Standard Options 1 2 4 1,232 3 12 25 3,688
Stochastic Skew in Currency Options 0 0 1 529 4 7 8 1,645
Stochastic Volatility for Levy Processes 0 0 0 5 1 1 2 48
The Finite Moment Log Stable Process and Option Pricing 0 0 1 481 0 5 6 1,272
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 1 6 10 2,479
Using Machine Learning to Predict Realized Variance 1 1 3 64 11 14 17 99
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 5 7 10 105
Valuing Finite-Lived Options as Perpetual 0 0 0 301 1 2 2 861
Variance Risk Premia 0 2 2 556 11 18 29 1,427
Vol, Skew, and Smile Trading 2 6 34 94 4 10 50 131
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 3 7 11 737
Why are quadratic normal volatility models analytically tractable? 0 0 0 16 1 5 8 88
Total Working Papers 5 12 56 5,474 80 166 299 16,245

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 1 1 3 176
A PDE approach to jump-diffusions 0 0 0 12 0 1 2 65
A Simple Robust Link Between American Puts and Credit Protection 0 2 4 38 0 3 8 124
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options 0 0 0 24 0 1 2 94
A functional analysis approach to the static replication of European options 0 0 1 1 1 2 8 12
A jump to default extended CEV model: an application of Bessel processes 0 0 0 42 1 4 7 245
A new approach for option pricing under stochastic volatility 0 0 0 132 2 10 13 312
A note on sufficient conditions for no arbitrage 0 0 2 89 3 8 18 260
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 0 1 1 37 5 11 14 140
Additive logistic processes in option pricing 0 0 0 1 1 5 7 18
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets 0 0 0 0 1 1 1 1
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 2 4 7 123 12 19 39 447
Bounded Brownian Motion 0 0 1 15 0 2 8 94
Convex duality in continuous option pricing models 0 0 2 6 1 4 9 16
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 0 2 4 4
FX options in target zones 0 0 0 4 0 0 1 22
Factor Models for Option Pricing 0 0 2 34 1 4 10 86
First-order calculus and option pricing 0 0 0 4 1 2 2 34
From local volatility to local Levy models 0 0 0 4 0 3 6 29
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT 0 0 0 3 2 6 7 30
Hedging insurance books 0 0 0 4 1 4 4 28
Hedging variance options on continuous semimartingales 0 0 0 16 0 3 3 93
Joint modeling of VIX and SPX options at a single and common maturity with risk management applications 0 0 0 2 1 2 4 16
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES 0 0 0 12 2 4 6 41
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 1 1 14 2 5 6 59
MAXIMUM DRAWDOWN INSURANCE 0 0 0 6 2 4 4 34
Markets, profits, capital, leverage and return 1 1 1 1 2 5 5 5
On the Numerical Evaluation of Option Prices in Jump Diffusion Processes 0 0 1 60 1 2 5 169
On the hedging of options on exploding exchange rates 0 0 0 7 1 1 1 71
On the qualitative effect of volatility and duration on prices of Asian options 0 0 1 21 2 3 6 98
Optimal investment in derivative securities 0 0 0 221 2 3 3 768
Optimal positioning in derivative securities 0 0 5 139 0 0 11 393
Optimal rates from eigenvalues 0 0 0 1 2 4 4 16
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 3 50 5 9 17 255
Option valuation using the fast Fourier transform 0 1 5 5 0 8 19 19
Options on realized variance and convex orders 0 0 0 1 1 1 1 6
Pricing and hedging in incomplete markets 0 0 0 123 0 1 3 268
Pricing options on realized variance 0 0 0 64 1 2 3 250
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 4 107
Randomization and the American Put 0 0 0 0 1 3 4 258
Robust replication of volatility and hybrid derivatives on jump diffusions 0 0 0 0 1 3 5 8
SELF‐DECOMPOSABILITY AND OPTION PRICING 0 0 0 34 0 1 1 97
SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS 0 0 1 6 1 1 3 16
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 1 1 4 9
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility 0 0 1 2 0 1 3 5
Spiking the Volatility Punch 0 0 0 0 1 1 1 8
Static Hedging of Standard Options 0 0 0 16 4 11 13 70
Static Hedging of Standard Options 0 0 1 5 0 3 8 37
Static replication of European standard dispersion options 0 0 1 4 2 3 9 15
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 2 4 339
Stochastic skew in currency options 0 0 0 133 2 5 10 465
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 1 88 1 4 7 381
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS 0 0 0 11 1 2 2 25
The Fine Structure of Asset Returns: An Empirical Investigation 0 2 6 248 2 8 19 923
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 2 8 12 35
The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value 1 3 4 460 6 11 24 1,321
The Valuation of Executive Stock Options in an Intensity-Based Framework 0 1 1 4 0 1 3 37
The Variance Gamma Process and Option Pricing 0 4 10 161 5 24 60 556
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 2 50 2 3 6 175
Time-changed Levy processes and option pricing 1 1 2 244 4 11 14 747
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 7 7 60
Variance Risk Premiums 0 0 4 33 1 3 17 118
Variance Risk Premiums 2 3 8 162 10 19 42 556
Variance swaps on time-changed Lévy processes 0 0 0 12 3 5 6 69
Variation and share-weighted variation swaps on time-changed Lévy processes 0 0 0 3 2 5 7 37
Volatility Derivatives 0 1 8 160 7 11 37 501
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 41 2 4 8 224
Total Journal Articles 7 28 101 3,545 122 318 648 12,424
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 0 2 3 17
DETERMINING VOLATILITY SURFACES AND OPTION VALUES FROM AN IMPLIED VOLATILITY SMILE 0 0 1 17 1 3 5 54
Option Pricing Generators 0 0 0 1 0 1 4 7
Probabilistic Interpretation of Black Implied Volatility 0 0 1 8 0 1 5 22
SIMULATING BERMUDAN INTEREST RATE DERIVATIVES 1 1 5 27 3 4 11 56
STATIC HEDGING OF EXOTIC OPTIONS 0 0 0 9 1 3 8 45
The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value 1 3 6 34 8 14 20 147
Total Chapters 2 4 15 115 13 28 61 401

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Statistics updated 2026-01-09