177 citations · 238 across the 18 of their papers we have counts for
22 papers
When to Sell an Asset? - A Distribution Builder Approach
Peter Carr, Stephan Sturm
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharp…
Semi-analytical pricing of barrier options in the time-dependent Heston model
P. Carr, A. Itkin, D. Muravey
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price i…
Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions
Peter Carr, Roger Lee, Matthew Lorig
We price and replicate a variety of claims written on the log price and quadratic variation of a risky asset, modeled as a positive semimartingale, subject to stochastic…
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
Peter Carr, Andrey Itkin, Dmitry Muravey
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficien…
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
Peter Carr, Andrey Itkin
In this paper we develop a semi-closed form solutions for the barrier (perhaps, time-dependent) and American options written on the underlying stock which follows a time-dependent…
Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu, Zhibai Zhang
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. W…