Similar Search Results

A functional analysis approach to the static replication of European options

Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew - In: Quantitative finance 21 (2021) 4, pp. 637-655

Persistent link: https://www.econbiz.de/10012483843

Carr, Peter; Lee, Roger - In: Annual Review of Financial Economics 1 (2009) 1, pp. 319-339

volatility of an underlying asset. Prominent examples of these derivatives include variance swaps and VIX futures and options. We …

Persistent link: https://www.econbiz.de/10008777002

Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process

Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26

Persistent link: https://www.econbiz.de/10012612941

A PDE approach to jump-diffusions

Carr, Peter; Cousot, Laurent - In: Quantitative Finance 11 (2011) 1, pp. 33-52

In this paper, we show that the calibration to an implied volatility surface and the pricing of contingent claims can be as simple in a jump-diffusion framework as in a diffusion framework. Indeed, after defining the jump densities as those of diffusions sampled at independent and exponentially...

Persistent link: https://www.econbiz.de/10009215023

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/10008526467

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

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