Similar Search Results

First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Analyzing volatility risk and risk premium in option contracts : a new theory

Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011590060

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

On the hedging of options on exploding exchange rates

Carr, Peter; Fisher, Travis; Ruf, Johannes - In: Finance and stochastics 18 (2014) 1, pp. 115-144

Persistent link: https://www.econbiz.de/10010235456

Put-call symmetry : extensions and applications

Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560

Persistent link: https://www.econbiz.de/10003937125

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

Semi-static hedging of barrier options under poisson jumps

Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111

Persistent link: https://www.econbiz.de/10009407668

FX Options in Target Zone

Carr, Peter - 2017

In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign minus domestic) short-rate is not deterministic. When...

Persistent link: https://www.econbiz.de/10012970528

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

Spiking the volatility punch

Carr, Peter; Figà-Talamanca, Gianna - In: Applied mathematical finance 27 (2020) 6, pp. 495-520

Persistent link: https://www.econbiz.de/10012516169