Narrow search
Showing 1 - 7 of 7
Cover Image
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
Cover Image
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
Cover Image
Carr memorial : maximum drawdown derivatives to a hitting time
Atteson, Kevin; Carr, Peter - In: The journal of derivatives : JOD 30 (2022) 2, pp. 16-31
Persistent link: https://www.econbiz.de/10014231103
Cover Image
Financial interpretation of Feller's factorization
Carr, Peter; Tebaldi, Claudio - In: The journal of derivatives : JOD 30 (2022) 2, pp. 49-63
Persistent link: https://www.econbiz.de/10014231105
Cover Image
Generalized compounding and growth optimal portfolios reconciling Kelly and Samuelson
Carr, Peter; Cherubini, Umberto - In: The journal of derivatives : JOD 30 (2022) 2, pp. 74-93
Persistent link: https://www.econbiz.de/10014231108
Cover Image
Compound option pricing and the Roll-Geske-Whaley formula under the conjugate-power Dagum distribution
Carr, Peter; Maglione, Federico - In: The journal of derivatives : JOD 30 (2022) 2, pp. 94-125
Persistent link: https://www.econbiz.de/10014231111
Cover Image
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