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Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
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My reminiscences of Peter Carr
Itkin, Andrey - In: The journal of derivatives : JOD 30 (2022) 2, pp. 8-15
Persistent link: https://www.econbiz.de/10014231101
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Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
Itkin, Andrey - In: The journal of derivatives : JOD 32 (2024) 1, pp. 110-137
Persistent link: https://www.econbiz.de/10015202619
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Carr memorial : maximum drawdown derivatives to a hitting time
Atteson, Kevin; Carr, Peter - In: The journal of derivatives : JOD 30 (2022) 2, pp. 16-31
Persistent link: https://www.econbiz.de/10014231103
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Financial interpretation of Feller's factorization
Carr, Peter; Tebaldi, Claudio - In: The journal of derivatives : JOD 30 (2022) 2, pp. 49-63
Persistent link: https://www.econbiz.de/10014231105
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Generalized compounding and growth optimal portfolios reconciling Kelly and Samuelson
Carr, Peter; Cherubini, Umberto - In: The journal of derivatives : JOD 30 (2022) 2, pp. 74-93
Persistent link: https://www.econbiz.de/10014231108
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Compound option pricing and the Roll-Geske-Whaley formula under the conjugate-power Dagum distribution
Carr, Peter; Maglione, Federico - In: The journal of derivatives : JOD 30 (2022) 2, pp. 94-125
Persistent link: https://www.econbiz.de/10014231111
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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