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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

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

Deriving derivatives of derivative securities

Carr, Peter - In: The journal of computational finance 4 (2000/2001) 2, pp. 5-29

Persistent link: https://www.econbiz.de/10001553928

Randomization and the American put

Carr, Peter - In: The review of financial studies 11 (1998) 3, pp. 597-626

Persistent link: https://www.econbiz.de/10001249758

Static hedging of timing risk

Carr, Peter; Picron, Jean-Francois - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 57-70

Persistent link: https://www.econbiz.de/10001432497

Vol, skew, and smile trading

Al-Jaaf, Aşty; Carr, Peter - In: The journal of derivatives : JOD 31 (2023) 1, pp. 64-95

Persistent link: https://www.econbiz.de/10014422386

R-Minimizing Hedging in an Incomplete Market : Malliavin Calculus Approach

Xiao, Yajun - 2011

In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via the generalized Clark-Ocone formula. Using this result in a stochastic volatility model, we study its connection with the hedge obtained via PDE approach. We see these hedging...

Persistent link: https://www.econbiz.de/10013134720

Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges

Ewald, Christian-Oliver (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003549952