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~person:"Backus, David"
~person:"Carr, Peter"
~subject:"Swap"
~subject:"jumps"
~type_genre:"Article in journal"
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Option pricing theory
46
Optionspreistheorie
46
Theorie
32
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32
Stochastic process
21
Stochastischer Prozess
21
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21
Volatilität
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Backus, David
Carr, Peter
SenGupta, Indranil
6
Yang, Zhaojun
6
Wu, Liuren
5
Chen, Son-nan
4
Kim, Jeong-Hoon
4
Kim, See-Woo
4
Kwok, Yue-Kuen
4
Wu, Ting-pin
4
Zheng, Wendong
4
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3
Jain, Shashi
3
Karlsson, Patrik
3
Lin, Shih-kuei
3
Longstaff, Francis A.
3
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3
Pelsser, Antoon André Jean
3
Schmeck, Maren Diane
3
Andersen, Leif B. G.
2
Andreasen, Jesper Fredborg
2
Chan, Leunglung
2
Chang, Chuang-chang
2
Chen, An
2
Drimus, Gabriel
2
Elliott, Robert J.
2
Filipović, Damir
2
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Habtemicael, Semere
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Finance and stochastics
2
Review of derivatives research
2
Journal of banking & finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The journal of fixed income
1
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Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
2
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
3
Implied remaining variance in derivative
pricing
Carr, Peter
;
Sun, Jian
- In:
The journal of fixed income
23
(
2014
)
4
,
pp. 19-32
Persistent link: https://www.econbiz.de/10010388877
Saved in:
4
Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter
;
Lee, Roger
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 685-716
Persistent link: https://www.econbiz.de/10010190886
Saved in:
5
Variance swaps on time-changed Lévy processes
Carr, Peter
;
Lee, Roger
;
Wu, Liuren
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
Saved in:
6
Pricing
swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey
;
Carr, Peter
- In:
Review of derivatives research
13
(
2010
)
2
,
pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
Saved in:
7
A new approach for option
pricing
under stochastic volatility
Carr, Peter
;
Sun, Jian
- In:
Review of derivatives research
10
(
2007
)
2
,
pp. 87-150
Persistent link: https://www.econbiz.de/10003705860
Saved in:
8
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
Carr, Peter
;
Wu, Liuren
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2383-2403
Persistent link: https://www.econbiz.de/10003522944
Saved in:
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