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A discrete time synthesis of d...
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9
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RePEc
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1
Why is VIX a fear gauge?
Carr, Peter
- In:
Risk and decision analysis
6
(
2017
)
2
,
pp. 179-185
Persistent link: https://www.econbiz.de/10011743831
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2
Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
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3
Optimal rates from eigenvalues
Carr, Peter
;
Worah, Pratik
- In:
Finance research letters
16
(
2016
),
pp. 230-238
Persistent link: https://www.econbiz.de/10011656191
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4
Adjusting exponential Lévy models toward the simultaneous calibration of market prices for crash cliquets
Carr, Peter
;
Khanna, Ajay
;
Madan, Dilip B.
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 89-111
Persistent link: https://www.econbiz.de/10011639593
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5
Derivatives pricing under bilateral counterparty risk
Carr, Peter
;
Ghamami, Samim
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 77-107
Persistent link: https://www.econbiz.de/10011847436
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6
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
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7
Hedging insurance books
Carr, Peter
;
Madan, Dilip B.
;
Melamed, Michael
; …
- In:
Insurance
70
(
2016
),
pp. 364-373
Persistent link: https://www.econbiz.de/10011597326
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8
A functional analysis approach to the static replication of European options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 637-655
Persistent link: https://www.econbiz.de/10012483843
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9
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
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10
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
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