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New products: Corridor variance swaps - This article studies a recent variation of a variance swap - a corridor variance swap (CVS). The authors propose a robus hedge of CVSs that...
Carr, Peter; Lewis, Keith - In: Risk : managing risk in the world's financial markets 17 (2004) 2, pp. 67-72
Persistent link: https://www.econbiz.de/10007028863
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Option pricing: Why be backward? The authors apply so-called forward methods to the pricing of continuously exercisable American-style put options. developing a forward partial int...
Carr, Peter; Hirsa, Ali - In: Risk : managing risk in the world's financial markets 16 (2003) 1, pp. 103-108
Persistent link: https://www.econbiz.de/10007033990
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Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytic...
Albanese, Claudio; Campolieti, Giuseppe; Carr, Peter; … - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 99-124
Persistent link: https://www.econbiz.de/10007040151
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HEDGING: GOING WITH THE FLOW - A useful hybrid technique for hedging contingent cashflows.
Carr, Peter; Lipton, Alex; Madan, Dilip - In: Risk : managing risk in the world's financial markets 13 (2000) 8, pp. 85-90
Persistent link: https://www.econbiz.de/10007048335
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INTRODUCING THE COVARIANCE SWAP - Techniques for hedging by using the correlation between two currency pairs.
Carr, Peter; Madan, Dilip - In: Risk : managing risk in the world's financial markets 12 (1999) 2, pp. 47-51
Persistent link: https://www.econbiz.de/10007058842
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BREAKING BARRIERS - Presenting a method of static replication for barrier securities.
Carr, Peter; Chou, Andrew - In: Risk : managing risk in the world's financial markets 10 (1997) 9, pp. 139-146
Persistent link: https://www.econbiz.de/10007067835
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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/10007983327
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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/10007795154
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Variance swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger; Wu, Liuren - In: Finance and stochastics 16 (2012) 2, pp. 335-356
Persistent link: https://www.econbiz.de/10009839745
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Markets, profits, capital, leverage and return
Carr, Peter; Madan, Dilip B; Vicente Alvarez, Juan Jose - In: Journal of risk 14 (2011) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10009343259