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263 records from EconBiz based on author Name
1. In memory of Peter Carr : 1958-2022
abstractThe editors of this special issue and several of the contributing authors have known Peter for a long time. We thought that the special issue will be enriched by adding a few personal notes and recollections about our interactions with Peter.
Campolieti, Giuseppe; Fahim, Arash; Pirjol, Dan; Stein, Harvey; Wang, Tai-Ho; Zhu, Lingjiong; Carr, Peter;2024
Type: Nachruf; Gedächtnisschrift
Availability: Link Link
2. Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 5 (based on OpenCitations)
3. Decomposing long bond returns : a decentralized theory
Carr, Peter; Wu, Liuren;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 1 (based on OpenCitations)
4. Vol, skew, and smile trading
Al-Jaaf, Aşty; Carr, Peter;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 5. Optionality as a Binary Operation
abstractIn finance, optionality is a possible property of a financial contract giving the owner a choice between two or more assets. For example, a convertible bond has optionality because its owner must choose between having a bond or having some shares of stock. In mathematics, a binary operation acts on two numbers in a set to produce a third number in that set. When a financial contract such as a convertible bond enjoys optionality between exactly two assets, then the arbitrage-free current value of the contract can potentially be treated as the outcome of a binary operation acting on the two current asset values. In this paper, we treat one of the two assets as riskless and demand that the binary operation linking the two current asset values always produce an arbitrage-free option price. In this context, we focus on the interplay between the properties of the risk-neutral density of the risky asset and the algebraic properties of the binary operation
Carr, Peter; Costa, Doug;2022
Availability: Link Link
6. Game of Vols
abstractThe absolute values of the spot and strike derivatives of the vanilla option price are probabilities of finishing in the money under different numeraires. At each fixed term, one of these probabilities can be related to the other using a convex distortion function. Using results from convex duality, we show that arbitrage‐free coterminal option prices can always be generated by specifying a convex distortion function. We also propose a parametrization of this convex distortion function and an interpolation method in the time dimension. The option prices generated by this method are free of any arbitrage - the calendar arbitrage, the strike spread arbitrage, and the butterfly spread arbitrage
Carr, Peter; Pelts, Gregory;2022
Availability: Link Link
7. Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property
abstractWe provide a generalisation of the loss of memory property using pseudo-analysis.We show how particular pseudo-sums have direct probabilistic interpretations as an arbitrage-free contingent-claim values. As a side result, we also provide new connections among well-known probability distributions
Carr, Peter; Cirillo, Pasquale;2022
Availability: Link Link
8. Carr memorial : maximum drawdown derivatives to a hitting time
Atteson, Kevin; Carr, Peter;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 9. Generalized compounding and growth optimal portfolios reconciling Kelly and Samuelson
Carr, Peter; Cherubini, Umberto;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 1 (based on OpenCitations)
10. Semi-analytical pricing of barrier options in the time-dependent Heston model
Carr, Peter; Itkin, Andrey; Muravey, Dmitry;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 1 (based on OpenCitations)