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~person:"Carr, Peter"
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Option pricing theory
60
Optionspreistheorie
60
Volatility
26
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23
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Carr, Peter
Böhringer, Christoph
186
Rutherford, Thomas F.
136
Robinson, Sherman
115
Whalley, John
109
Dixon, Peter B.
95
Gersbach, Hans
94
Madan, Dilip B.
92
Roson, Roberto
84
Chaudhuri, Sarbajit
77
Fehr, Hans
74
Wiebelt, Manfred
74
Anderson, Kym
73
Cui, Zhenyu
73
Löschel, Andreas
71
Härdle, Wolfgang
70
Peterson, Sonja
70
Rimmer, Maureen T.
69
Fabozzi, Frank J.
68
Fullerton, Don
67
Joshi, Mark S.
66
Takahashi, Akihiko
66
Goulder, Lawrence H.
65
Marjit, Sugata
65
Chiarella, Carl
59
Haller, Hans
59
Bosello, Francesco
57
Geanakoplos, John
57
Schoutens, Wim
57
Klepper, Gernot
56
Chichilnisky, Graciela
54
Francois, Joseph F.
54
Timilsina, Govinda R.
53
Conrad, Klaus
52
Stentoft, Lars
52
Vasilev, Aleksandar
51
Diao, Xinshen
50
Swales, John Kim
50
Elliott, Robert J.
49
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49
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Finance and stochastics
6
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
Applied mathematical finance
2
Computational economics
2
European finance review : the official journal of the European Finance Association
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International journal of theoretical and applied finance
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Asia-Pacific financial markets
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NYU Tandon Research Paper
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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
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1
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:
2
The variance gamma process and option pricing
Madan, Dilip B.
;
Carr, Peter
;
Chang, Eric Chieh
- In:
European finance review : the official journal of the …
2
(
1998
)
1
,
pp. 79-105
Persistent link: https://www.econbiz.de/10001400428
Saved in:
3
The valuation of sequential exchange opportunities
Carr, Peter
- In:
The journal of finance : the journal of the American …
43
(
1988
)
5
,
pp. 1235-1256
Persistent link: https://www.econbiz.de/10001073000
Saved in:
4
Alternative characterizations of American put options
Carr, Peter
- In:
Mathematical finance : an international journal of …
2
(
1992
)
2
,
pp. 87-105
Persistent link: https://www.econbiz.de/10001184902
Saved in:
5
A note on the pricing of commodity-linked bonds
Carr, Peter
- In:
The journal of finance : the journal of the American …
42
(
1987
)
4
,
pp. 1071-1076
Persistent link: https://www.econbiz.de/10001055592
Saved in:
6
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
Saved in:
7
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:
8
Implied remaining variance with application to Bachelier model
Sun, Jian
;
Niu, Qiankun
;
Cao, Shinan
;
Carr, Peter
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 78-95
Persistent link: https://www.econbiz.de/10011684715
Saved in:
9
Local variance gamma and explicit calibration to option prices
Carr, Peter
;
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 151-193
Persistent link: https://www.econbiz.de/10011739451
Saved in:
10
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
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