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~person:"Carr, Peter"
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Option pricing theory
60
Optionspreistheorie
60
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26
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23
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Carr, Peter
Fabozzi, Frank J.
192
Härdle, Wolfgang
105
Madan, Dilip B.
94
Joshi, Mark S.
74
Cui, Zhenyu
73
Chiarella, Carl
72
Hull, John
69
Kruschwitz, Lutz
62
Schoutens, Wim
61
Takahashi, Akihiko
61
Elliott, Robert J.
54
Stentoft, Lars
52
Drukarczyk, Jochen
51
Jarrow, Robert A.
51
Steiner, Manfred
50
Spremann, Klaus
49
Ernst, Dietmar
47
Jacobs, Kris
47
Rausser, Gordon C.
46
Olfert, Klaus
43
Račev, Svetlozar T.
43
Schlögl, Erik
42
Wystup, Uwe
41
Alexander, Carol
39
Benth, Fred Espen
39
Kußmaul, Heinz
38
Kwok, Yue-Kuen
38
Lee, Cheng F.
38
Wilmott, Paul
38
Belomestny, Denis
37
Franke, Günter
37
Oosterlee, Cornelis W.
37
Sandmann, Klaus
37
Subrahmanyam, Marti G.
37
Broll, Udo
35
Schwartz, Eduardo S.
35
Bodie, Zvi
34
Breuer, Wolfgang
34
Chesney, Marc
34
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Université Paris-Dauphine
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Université Paris-Dauphine (Paris IX)
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
6
The journal of finance : the journal of the American Finance Association
4
Journal of financial economics
3
The journal of computational finance
3
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European finance review : the official journal of the European Finance Association
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
60
RePEc
2
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1
From Local Volatility to Local Levy Models
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
Saved in:
2
From Local Volatility to Local Levy Models.
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
Saved in:
3
On the qualitative effect of volatility and duration on
prices
of Asian options
Carr, Peter
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
Finance research letters
5
(
2008
)
3
,
pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
Saved in:
4
Time-changed Markov processes in unified credit-equity modeling
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Saddlepoint methods for option pricing
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
Saved in:
8
Hedging variance options on continuous semimartingales
Carr, Peter
;
Lee, Roger
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 179-207
Persistent link: https://www.econbiz.de/10003951494
Saved in:
9
On the qualitative effect of volatility and duration on
prices
of Asian options
Carr, Peter
;
Ewald, CXhristian-Oliver
;
Xiao, Yajun
-
2008
Persistent link: https://www.econbiz.de/10003680543
Saved in:
10
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
Saved in:
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