Peter Carr
Peter Carr
Department Chair, Finance and Risk Engineering, Tandon School, NYU
Email verificata su nyu.edu - Home page
Titolo
Citata da
Citata da
Anno
Option valuation using the fast Fourier transform
P Carr, D Madan
Journal of computational finance 2 (4), 61-73, 1999
26181999
The variance gamma process and option pricing
DB Madan, PP Carr, EC Chang
Review of Finance 2 (1), 79-105, 1998
21271998
The fine structure of asset returns: An empirical investigation
P Carr, H Geman, DB Madan, M Yor
The Journal of Business 75 (2), 305-332, 2002
20032002
Variance risk premiums
P Carr, L Wu
The Review of Financial Studies 22 (3), 1311-1341, 2009
13012009
Stochastic volatility for Lvy processes
P Carr, H Geman, DB Madan, M Yor
Mathematical finance 13 (3), 345-382, 2003
10022003
Time-changed Lvy processes and option pricing
P Carr, L Wu
Journal of Financial economics 71 (1), 113-141, 2004
8122004
Towards a theory of volatility trading
P Carr, D Madan
Option Pricing, Interest Rates and Risk Management, Handbooks in…, 2001
7432001
Alternative characterizations of American put options
P Carr, R Jarrow, R Myneni
Mathematical Finance 2 (2), 87-106, 1992
6381992
The finite moment log stable process and option pricing
P Carr, L Wu
The journal of finance 58 (2), 753-777, 2003
5652003
Randomization and the American put
P Carr
The Review of Financial Studies 11 (3), 597-626, 1998
4851998
A tale of two indices
P Carr, L Wu
The Journal of Derivatives 13 (3), 13-29, 2006
4632006
The valuation of sequential exchange opportunities
P Carr
The journal of Finance 43 (5), 1235-1256, 1988
4041988
Static hedging of exotic options
P Carr, K Ellis, V Gupta
Quantitative Analysis In Financial Markets: Collected Papers of the New York…, 1999
4031999
Optimal positioning in derivative securities
P Carr, D Madan
Taylor & Francis Group 1 (1), 19-37, 2001
4012001
Stochastic skew in currency options
P Carr, L Wu
Journal of Financial Economics 86 (1), 213-247, 2007
3792007
Pricing and hedging in incomplete markets
P Carr, H Geman, DB Madan
Journal of financial economics 62 (1), 131-167, 2001
3722001
What type of process underlies options? A simple robust test
P Carr, L Wu
The Journal of Finance 58 (6), 2581-2610, 2003
3202003
Volatility derivatives
P Carr, R Lee
Annu. Rev. Financ. Econ. 1 (1), 319-339, 2009
2642009
Stock options and credit default swaps: A joint framework for valuation and estimation
P Carr, L Wu
Journal of Financial Econometrics 8 (4), 409-449, 2010
2542010
A jump to default extended CEV model: an application of Bessel processes
P Carr, V Linetsky
Finance and Stochastics 10 (3), 303-330, 2006
2482006
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
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