177 citations · 238 across the 18 of their papers we have counts for
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q-fin.MF2018
Generalizing Geometric Brownian Motion
Peter Carr, Zhibai Zhang
To convert standard Brownian motion into a positive process, Geometric Brownian motion (GBM) is widely used. We generalize this positive process by introducing…
q-fin.PR2018
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)…
q-fin.CP2018
An Expanded Local Variance Gamma model
Peter Carr, Andrey Itkin
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is po…