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Stochastic volatility for Lévy processes
Carr, Peter (contributor) - In: Mathematical finance : an international journal of … 13 (2003) 3, pp. 345-382
Persistent link: https://www.econbiz.de/10001782284
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The finite moment log stable process and option pricing
Carr, Peter; Wu, Liuren - In: The journal of finance : the journal of the American … 58 (2003) 2, pp. 753-777
Persistent link: https://www.econbiz.de/10001750591
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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
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Volatility derivatives
Carr, Peter; Lee, Roger - In: Annual review of financial economics 1 (2009), pp. 319-339
Persistent link: https://www.econbiz.de/10003924502
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Put-call symmetry : extensions and applications
Carr, Peter; Lee, Roger - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 523-560
Persistent link: https://www.econbiz.de/10003937125
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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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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
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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
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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
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008
Persistent link: https://www.econbiz.de/10003680543