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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
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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
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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
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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
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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
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Self-decomposability and option pricing
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10003543101
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Stochastic skew in currency options
Carr, Peter; Wu, Liuren - In: Journal of financial economics 86 (2007) 1, pp. 213-247
Persistent link: https://www.econbiz.de/10003546310
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On the numerical evaluation of option prices in jump diffusion processes
Carr, Peter; Mayo, Anita - In: The European journal of finance 13 (2007) 3/4, pp. 353-372
Persistent link: https://www.econbiz.de/10003550397
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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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