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~isPartOf:"Applied mathematical finance"
~isPartOf:"Finance and stochastics"
~person:"Carr, Peter"
~subject:"Volatility"
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Volatility
Option pricing theory
8
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Carr, Peter
Avellaneda, Marco
5
Fouque, Jean-Pierre
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Sircar, Kaushik Ronnie
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4
Fukasawa, Masaaki
4
Jacquier, Antoine
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Applied mathematical finance
Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Computational economics
2
International journal of theoretical and applied finance
2
NYU Tandon Research Paper
2
The journal of derivatives : JOD
2
Discussion paper series
1
Finance research letters
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Journal of financial and quantitative analysis : JFQA
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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Journal of investment management : JOIM
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Journal of risk
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Robert H. Smith School Research Paper
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
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1
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Applied mathematical finance
28
(
2021
)
6
,
pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
Saved in:
2
Spiking the volatility punch
Carr, Peter
;
Figà-Talamanca, Gianna
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
Saved in:
3
Variance swaps on time-changed Lévy processes
Carr, Peter
;
Lee, Roger
;
Wu, Liuren
- In:
Finance and stochastics
16
(
2012
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
Saved in:
4
A jump to default extended CEV model : an application of Bessel processes
Carr, Peter
;
Linetsky, Vadim
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 303-330
Persistent link: https://www.econbiz.de/10003379774
Saved in:
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