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~isPartOf:"Finance and stochastics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Carr, Peter"
~subject:"Volatility"
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Volatility
Option pricing theory
12
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Carr, Peter
Fouque, Jean-Pierre
5
Fukasawa, Masaaki
5
Schweizer, Martin
5
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4
Cont, Rama
4
Sircar, Kaushik Ronnie
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Kim, Kyoung-kuk
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Finance and stochastics
Mathematical finance : an international journal of mathematics, statistics and financial theory
Applied mathematical finance
2
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2
International journal of theoretical and applied finance
2
NYU Tandon Research Paper
2
The journal of derivatives : JOD
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Finance research letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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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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1
Local variance gamma and explicit calibration to option prices
Carr, Peter
;
Nadtochiy, Sergey
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 151-193
Persistent link: https://www.econbiz.de/10011739451
Saved in:
2
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
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
Stochastic volatility for Lévy processes
Carr, Peter
(
contributor
)
- In:
Mathematical finance : an international journal of …
13
(
2003
)
3
,
pp. 345-382
Persistent link: https://www.econbiz.de/10001782284
Saved in:
5
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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