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~person:"Backus, David"
~person:"Carr, Peter"
~subject:"Entropie"
~subject:"Volatility"
~subject:"jumps"
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Entropie
Volatility
jumps
Option pricing theory
63
Optionspreistheorie
63
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47
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47
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29
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28
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23
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Backus, David
Carr, Peter
Cui, Zhenyu
44
Chiarella, Carl
30
Jacobs, Kris
28
Härdle, Wolfgang
26
Jacquier, Antoine (Jack)
25
Christoffersen, Peter F.
24
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23
Gatheral, Jim
22
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21
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21
Nguyen, Duy
21
Zhang, Jin E.
21
Takahashi, Akihiko
20
Todorov, Viktor
20
Chernov, Mikhail
19
Guyon, Julien
19
Fabozzi, Frank J.
18
Madan, Dilip B.
18
Wu, Liuren
18
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16
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16
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16
Fouque, Jean-Pierre
16
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16
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16
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15
Benth, Fred Espen
15
Elliott, Robert J.
15
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15
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15
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15
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15
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14
Forde, Martin
14
Jacquier, Antoine
14
Kang, Boda
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Le Floc'h, Fabien
14
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14
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3
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
41
RePEc
2
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1
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43
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1
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
2
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
- In:
Journal of financial economics
129
(
2018
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011981208
Saved in:
3
Probabilistic interpretation of Black implied volatility
Carr, Peter
;
Wu, Liuren
;
Zhang, Yuzhao
- In:
Options - 45 years since the publication of the …
,
(pp. 29-46)
.
2023
Persistent link: https://www.econbiz.de/10014366585
Saved in:
4
Vol, skew, and smile trading
Al-Jaaf, Aşty
;
Carr, Peter
- In:
The journal of derivatives : JOD
31
(
2023
)
1
,
pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
Saved in:
5
Using machine learning to predict realized variance
Carr, Peter
;
Wu, Liuren
;
Zhang, Zhibai
- In:
Journal of investment management : JOIM
18
(
2020
)
2
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012588965
Saved in:
6
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
7
Sources of entropy in representative agent models
Backus, David
;
Chernov, Mikhail
;
Zin, Stanley E.
-
2011
-
This revision: July 11, 2011
Persistent link: https://www.econbiz.de/10009580241
Saved in:
8
Sources of Entropy in Representative Agent Models
Backus, David
-
2011
We propose two metrics for asset
pricing
models and apply them to representative agent models with recursive … preferences, habits, and jumps. The metrics describe the
pricing
kernel's dispersion (the entropy of the title) and dynamics (time …
Persistent link: https://www.econbiz.de/10012461438
Saved in:
9
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
10
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Carr, Peter
-
2017
The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...
Persistent link: https://www.econbiz.de/10012706677
Saved in:
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