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~person:"Carr, Peter"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Volatilität
Option pricing theory
45
Optionspreistheorie
45
Theorie
26
Theory
26
Stochastic process
21
Stochastischer Prozess
21
Volatility
21
Derivat
11
Derivative
11
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11
Optionsgeschäft
11
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10
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9
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6
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Statistical distribution
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Aufsatz in Zeitschrift
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English
21
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Carr, Peter
Cui, Zhenyu
20
Zhang, Jin E.
18
Wang, Xingchun
16
Todorov, Viktor
15
Escobar, Marcos
13
Alòs, Elisa
12
Benth, Fred Espen
12
Christoffersen, Peter F.
12
Fabozzi, Frank J.
12
Takahashi, Akihiko
12
Bollerslev, Tim
11
Elliott, Robert J.
11
Jacobs, Kris
11
Jacquier, Antoine
11
Lin, Shih-kuei
11
Lorig, Matthew
11
Madan, Dilip B.
11
Kim, Jeong-Hoon
10
Kim, Sol
10
Kwok, Yue-Kuen
10
Nguyen, Duy
10
Schoutens, Wim
10
Wong, Hoi Ying
10
Wu, Liuren
10
Fouque, Jean-Pierre
9
Gatheral, Jim
9
He, Xin-Jiang
9
Lin, Yueh-neng
9
Radoičić, Radoš
9
Ruan, Xinfeng
9
Shiraya, Kenichiro
9
Singh, Vipul Kumar
9
Sircar, Kaushik Ronnie
9
Skiadopoulos, George
9
Andersen, Torben
8
Branger, Nicole
8
Byun, Suk Joon
8
Fonseca, José da
8
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8
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Applied mathematical finance
2
Computational economics
2
International journal of theoretical and applied finance
2
The journal of derivatives : JOD
2
Finance and stochastics
1
Finance research letters
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of investment management : JOIM
1
Journal of risk
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of finance : the journal of the American Finance Association
1
The journal of fixed income
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ECONIS (ZBW)
21
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1
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21
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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
Vol, skew, and smile trading
Al-Jaaf, Aşty
;
Carr, Peter
- In:
The journal of derivatives : JOD
31
(
2023
)
1
,
pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
Saved in:
3
Using machine learning to predict realized variance
Carr, Peter
;
Wu, Liuren
;
Zhang, Zhibai
- In:
Journal of investment management : JOIM
18
(
2020
)
2
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012588965
Saved in:
4
Semi-analytical
pricing
of barrier options in the time-dependent Heston model
Carr, Peter
;
Itkin, Andrey
;
Muravey, Dmitry
- In:
The journal of derivatives : JOD
30
(
2022
)
2
,
pp. 141-171
Persistent link: https://www.econbiz.de/10014231115
Saved in:
5
An expanded Local Variance Gamma model
Carr, Peter
;
Itkin, Andrey
- In:
Computational economics
57
(
2021
)
4
,
pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
Saved in:
6
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
7
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:
8
Risk, return, and ross recovery
Carr, Peter
;
Yu, Jiming
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 38-59
Persistent link: https://www.econbiz.de/10009671710
Saved in:
9
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
Saved in:
10
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:
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