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Author
Peter Carr
also known as Carr, P., Carr, Peter, Carr, Peter P.
New York University · Bank of America · Supélec · United Nations
About this author
Works
232
Cited by
18,883
h-index
53
i10
119
ORCID ↗
Top papers
Option valuation using the fast Fourier transform
Peter Carr, Dilip B. Madan
·
1999
·
The Journal of Computational Finance
↗ 2,269
The Variance Gamma Process and Option Pricing
Dilip B. Madan, Peter Carr, Eric C. Chang
·
1998
·
European Finance Review
↗ 1,895
The Fine Structure of Asset Returns: An Empirical Investigation
Peter Carr, Hélyette Geman, Dilip B. Madan, et al.
·
2002
·
The Journal of Business
↗ 1,820
Variance Risk Premiums
Peter Carr, Liuren Wu
·
2008
·
Review of Financial Studies
↗ 1,391
Stochastic Volatility for Lévy Processes
Peter Carr, Hélyette Geman, Dilip B. Madan, et al.
·
2003
·
Mathematical Finance
↗ 906
Time-changed Lévy processes and option pricing
Peter Carr, Liuren Wu
·
2003
·
Journal of Financial Economics
↗ 719
Towards a Theory of Volatility Trading
Peter Carr, Dilip B. Madan
·
2010
·
Cambridge University Press eBooks
↗ 613
The Finite Moment Log Stable Process and Option Pricing
Peter Carr, Liuren Wu
·
2003
·
The Journal of Finance
↗ 534
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Peter Carr, Robert A. Jarrow, Ravi Myneni
·
1992
·
Mathematical Finance
↗ 497
A Tale of Two Indices
Peter Carr, Liuren Wu
·
2006
·
The Journal of Derivatives
↗ 409
Optimal positioning in derivative securities
Peter Carr, Dilip B. Madan
·
2001
·
Quantitative Finance
↗ 359
Pricing and hedging in incomplete markets
Peter Carr, Hélyette Geman, Dilip B. Madan
·
2001
·
Journal of Financial Economics
↗ 325