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Static Replication of European...
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1
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
Saved in:
2
Static replication of European standard dispersion options
Bossu, Sébastien
;
Carr, Peter
;
Papanicolaou, Andrew
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 799-811
Persistent link: https://www.econbiz.de/10013367861
Saved in:
3
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
Saved in:
4
Probabilistic interpretation of Black implied volatility
Carr, Peter
;
Wu, Liuren
;
Zhang, Yuzhao
- In:
Options - 45 years since the publication of the …
,
(pp. 29-46)
.
2023
Persistent link: https://www.econbiz.de/10014366585
Saved in:
5
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
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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
Saved in:
7
Hedging insurance books
Carr, Peter
;
Madan, Dilip B.
;
Melamed, Michael
; …
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 364-373
Persistent link: https://www.econbiz.de/10011597326
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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