Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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