177 citations · 238 across the 18 of their papers we have counts for
8 papers · 1 filter
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…
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…
Geometric Local Variance Gamma model
Peter Carr, Andrey Itkin
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017)…
FX Options in Target Zone
Peter Carr, Zura Kakushadze
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-…
Local Variance Gamma and Explicit Calibration to Option Prices
Peter Carr, Sergey Nadtochiy
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with mult…