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~person:"Carr, Peter"
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Option pricing theory
60
Optionspreistheorie
60
Volatility
36
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35
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29
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29
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27
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77
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Carr, Peter
McAleer, Michael
424
Gupta, Rangan
246
Caporale, Guglielmo Maria
212
Chang, Chia-Lin
162
Bollerslev, Tim
158
Härdle, Wolfgang
143
Koopman, Siem Jan
141
Diebold, Francis X.
134
Madan, Dilip B.
123
Fabozzi, Frank J.
122
Pierdzioch, Christian
118
Chiarella, Carl
116
Bouri, Elie
114
Aizenman, Joshua
103
Andersen, Torben
103
Spagnolo, Nicola
101
Engle, Robert F.
99
Phillips, Peter C. B.
99
Caporin, Massimiliano
98
Lux, Thomas
97
Ma, Feng
94
Platen, Eckhard
91
Hautsch, Nikolaus
84
Cui, Zhenyu
83
Hammoudeh, Shawkat
83
Bekaert, Geert
81
Gil-Alaña, Luis A.
81
Takahashi, Akihiko
79
Todorov, Viktor
79
Christoffersen, Peter F.
77
Bahmani-Oskooee, Mohsen
76
Podolskij, Mark
76
Asai, Manabu
75
Benth, Fred Espen
75
Tiwari, Aviral Kumar
75
Pesaran, M. Hashem
74
Buch, Claudia M.
71
Kočenda, Evžen
70
Prokopczuk, Marcel
70
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Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
1
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Finance and stochastics
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
The journal of finance : the journal of the American Finance Association
5
Journal of financial economics
4
International journal of theoretical and applied finance
3
The journal of computational finance
3
The journal of derivatives : JOD
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Applied mathematical finance
2
Computational economics
2
European finance review : the official journal of the European Finance Association
2
NYU Tandon Research Paper
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2
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2
The review of financial studies
2
Annual review of financial economics
1
Asia-Pacific financial markets
1
CRIEFF Discussion Papers
1
Discussion paper series
1
Finance research letters
1
Journal of banking & finance
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
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1
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1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Risk and decision analysis
1
Risks : open access journal
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Robert H. Smith School Research Paper
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ECONIS (ZBW)
77
RePEc
1
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1
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1
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:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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:
7
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
Saved in:
8
Explicit Constructions of Martingales Calibrated to Given Implied
Volatility
Smiles
Carr, Peter
-
2011
construct the whole implied
volatility
surface and use the explicit constructions of calibrated (jump-) diffusions, available in …
Persistent link: https://www.econbiz.de/10013132624
Saved in:
9
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
Saved in:
10
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
Saved in:
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