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
25591999
The variance gamma process and option pricing
DB Madan, PP Carr, EC Chang
Review of Finance 2 (1), 79-105, 1998
20631998
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
19572002
Variance risk premiums
P Carr, L Wu
The Review of Financial Studies 22 (3), 1311-1341, 2009
12682009
Stochastic volatility for Lvy processes
P Carr, H Geman, DB Madan, M Yor
Mathematical finance 13 (3), 345-382, 2003
9972003
Time-changed Lvy processes and option pricing
P Carr, L Wu
Journal of Financial economics 71 (1), 113-141, 2004
8032004
Towards a theory of volatility trading
P Carr, D Madan
Option Pricing, Interest Rates and Risk Management, Handbooks in…, 2001
7162001
Alternative characterizations of American put options
P Carr, R Jarrow, R Myneni
Mathematical Finance 2 (2), 87-106, 1992
6201992
The finite moment log stable process and option pricing
P Carr, L Wu
The journal of finance 58 (2), 753-777, 2003
5472003
Randomization and the American put
P Carr
The Review of Financial Studies 11 (3), 597-626, 1998
4721998
A tale of two indices
P Carr, L Wu
The Journal of Derivatives 13 (3), 13-29, 2006
4472006
The valuation of sequential exchange opportunities
P Carr
The journal of Finance 43 (5), 1235-1256, 1988
3971988
Static hedging of exotic options
P Carr, K Ellis, V Gupta
Quantitative Analysis In Financial Markets: Collected Papers of the New York…, 1999
3931999
Optimal positioning in derivative securities
P Carr, D Madan
Taylor & Francis Group 1 (1), 19-37, 2001
3922001
Stochastic skew in currency options
P Carr, L Wu
Journal of Financial Economics 86 (1), 213-247, 2007
3702007
Pricing and hedging in incomplete markets
P Carr, H Geman, DB Madan
Journal of financial economics 62 (1), 131-167, 2001
3682001
What type of process underlies options? A simple robust test
P Carr, L Wu
The Journal of Finance 58 (6), 2581-2610, 2003
3132003
Volatility derivatives
P Carr, R Lee
Annu. Rev. Financ. Econ. 1 (1), 319-339, 2009
2552009
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
2532010
A jump to default extended CEV model: an application of Bessel processes
P Carr, V Linetsky
Finance and Stochastics 10 (3), 303-330, 2006
2372006
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
Articoli 1–20