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Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2004

reverse engineer the local speed function from traded option prices of all strikes and maturities. The local Lévy processes …

Persistent link: https://www.econbiz.de/10010905146

Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine - 2004

reverse engineer the local speed function from traded option prices of all strikes and maturities. The local Lévy processes …

Persistent link: https://www.econbiz.de/10008532449

Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171

Persistent link: https://www.econbiz.de/10003769897

Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 527-569

Persistent link: https://www.econbiz.de/10008666998

Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008695493

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

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

Carr, Peter; Madan, Dilip B. - In: The journal of computational finance 13 (2009/10) 1, pp. 49-61

Persistent link: https://www.econbiz.de/10003969743

Carr, Peter; Lee, Roger - In: Finance and stochastics 14 (2010) 2, pp. 179-207

Persistent link: https://www.econbiz.de/10003951494

Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008

Persistent link: https://www.econbiz.de/10003680543

Carr, Peter; Sun, Jian - In: Review of derivatives research 10 (2007) 2, pp. 87-150

Persistent link: https://www.econbiz.de/10003705860