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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
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A discrete time synthesis of derivative security valuation using a term structure of futures prices
Carr, Peter - In: Finance, (pp. 225-249). 1995
Persistent link: https://www.econbiz.de/10001318017
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Theory
El Karoui, Nicole - 1992
Persistent link: https://www.econbiz.de/10000875960
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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
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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
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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
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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
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Bounded brownian motion
Carr, Peter - In: Risks : open access journal 5 (2017) 4, pp. 1-24
Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.
Persistent link: https://www.econbiz.de/10011783753
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The relationship betwenn arbitrage and first order stochastic dominance
Jarrow, Robert - In: The journal of finance : the journal of the American … 41 (1986) 4, pp. 915-921
Persistent link: https://www.econbiz.de/10003585010
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725