Peter Carr
New York University
H-index: 62
North America-United States
Top articles of Peter Carr
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Option pricing generators | Peter Carr Umberto Cherubini | 2024 | |
A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims | Royal Society Open Science | Peter Carr Pasquale Cirillo | 2024/4/10 |
The Letter | Social Alternatives | Marcus Bussey | 2017/1 |
Vol, Skew, and Smile Trading. | Journal of Derivatives | Aşty Al-Jaaf Peter Carr | 2023/9/1 |
Decomposing Long Bond Returns: A Decentralized Theory | Review of Finance | Peter Carr Liuren Wu | 2023/5/1 |
Convex duality in continuous option pricing models | Annals of Operations Research | Peter Carr Lorenzo Torricelli | 2023/1/10 |
Probabilistic Interpretation of Black Implied Volatility | Options-45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference | Peter Carr Liuren Wu Yuzhao Zhang | 2022/12/21 |
Symmetric Approach to Martingale Construction (Presentation Slides) | Available at SSRN 4285068 | Peter Carr Gregory Pelts | 2022/11/24 |
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time. | Journal of Derivatives | Kevin Atteson Peter Carr | 2022/12/1 |
Static replication of European standard dispersion options | Quantitative Finance | Sébastien Bossu Peter Carr Andrew Papanicolaou | 2022/5/4 |
Semi-analytical pricing of barrier options in the time-dependent Heston model | arXiv preprint arXiv:2202.06177 | Peter Carr Andrey Itkin Dmitry Muravey | 2022/2/13 |
Financial Interpretation of Feller's Factorization. | Journal of Derivatives | Peter Carr Claudio Tebaldi | 2022/12/1 |
Pseudo-sums, contingent claims, and a generalized memoryless property | Peter Carr Pasquale Cirillo | 2022 | |
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution. | Journal of Derivatives | Peter Carr Federico Maglione | 2022/12/1 |
Optionality as a binary operation | Available at SSRN 4018065 | Peter Carr Doug Costa | 2022 |
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson. | Journal of Derivatives | Peter Carr Umberto Cherubini | 2022/12/1 |
Stoptions: Representations and Applications | Available at SSRN 3929583 | Peter Carr | 2021/9/23 |
Long Term Risk: A Time Change Approach | Available at SSRN 3995428 | Umberto Cherubini Peter Carr | 2021/12/28 |
A functional analysis approach to the static replication of European options | Quantitative Finance | Sébastien Bossu Peter Carr Andrew Papanicolaou | 2021/4/3 |
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility | Applied Mathematical Finance | Peter Carr Roger Lee Matthew Lorig | 2021/11/2 |
Co-Authors
