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Pricing options on realized variance

Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc - In: Finance and stochastics 9 (2005) 4, pp. 453-475

Persistent link: https://www.econbiz.de/10003123173

Variation and share-weighted variation swaps on time-changed Lévy processes

Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716

Persistent link: https://www.econbiz.de/10010190886

Implied remaining variance in derivative pricing

Carr, Peter; Sun, Jian - In: The journal of fixed income 23 (2014) 4, pp. 19-32

Persistent link: https://www.econbiz.de/10010388877

Multi-asset stochastic local variance contracts

Carr, Peter; Laurence, Peter - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 21-52

Persistent link: https://www.econbiz.de/10008935704

Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008695493

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

Variance risk premiums

Carr, Peter; Wu, Liuren - In: The review of financial studies 22 (2009) 3, pp. 1311-1341

Persistent link: https://www.econbiz.de/10003827753

Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options

Carr, Peter; Wu, Liuren - In: Journal of banking & finance 31 (2007) 8, pp. 2383-2403

Persistent link: https://www.econbiz.de/10003522944

A new approach for option pricing under stochastic volatility

Carr, Peter; Sun, Jian - In: Review of derivatives research 10 (2007) 2, pp. 87-150

Persistent link: https://www.econbiz.de/10003705860

Implied Remaining Variance in Derivative Pricing

Carr, Peter - 2018

In this paper, we give a way to calculate a option implied volatility curve in closed form via the well known quadratic root formula. The closed form expression has 3 free parameters, which parsimoniously govern the assumed dynamics of implied volatility under forward swap measure. Preliminary...

Persistent link: https://www.econbiz.de/10012938271