Option valuation using the fast Fourier transform P Carr, D Madan Journal of computational finance 2 (4), 61-73, 1999 | 2994 | 1999 |
The variance gamma process and option pricing DB Madan, PP Carr, EC Chang Review of Finance 2 (1), 79-105, 1998 | 2461 | 1998 |
The fine structure of asset returns: An empirical investigation P Carr, H Geman, DB Madan, M Yor The journal of Business 75 (2), 305-332, 2002 | 2288 | 2002 |
Variance risk premiums P Carr, L Wu The Review of Financial Studies 22 (3), 1311-1341, 2009 | 1538 | 2009 |
Stochastic volatility for Lévy processes P Carr, H Geman, DB Madan, M Yor Mathematical finance 13 (3), 345-382, 2003 | 1135 | 2003 |
Time-changed Lévy processes and option pricing P Carr, L Wu Journal of Financial economics 71 (1), 113-141, 2004 | 949 | 2004 |
Towards a theory of volatility trading P Carr, D Madan Volatility: New estimation techniques for pricing derivatives 29, 417-427, 1998 | 875 | 1998 |
Alternative characterizations of American put options P Carr, R Jarrow, R Myneni Mathematical Finance 2 (2), 87-106, 1992 | 700 | 1992 |
The finite moment log stable process and option pricing P Carr, L Wu The journal of finance 58 (2), 753-777, 2003 | 685 | 2003 |
A tale of two indices P Carr, L Wu Available at SSRN 871729, 2005 | 549 | 2005 |
Randomization and the American put P Carr The Review of Financial Studies 11 (3), 597-626, 1998 | 542 | 1998 |
Optimal positioning in derivative securities P Carr, D Madan Taylor & Francis Group 1 (1), 19-37, 2001 | 471 | 2001 |
The valuation of sequential exchange opportunities P Carr The journal of Finance 43 (5), 1235-1256, 1988 | 458 | 1988 |
Stochastic skew in currency options P Carr, L Wu Journal of Financial Economics 86 (1), 213-247, 2007 | 437 | 2007 |
Static hedging of exotic options P Carr, K Ellis, V Gupta The Journal of Finance 53 (3), 1165-1190, 1998 | 435 | 1998 |
Pricing and hedging in incomplete markets P Carr, H Geman, DB Madan Journal of financial economics 62 (1), 131-167, 2001 | 402 | 2001 |
What type of process underlies options? A simple robust test P Carr, L Wu The Journal of Finance 58 (6), 2581-2610, 2003 | 361 | 2003 |
Volatility derivatives P Carr, R Lee Annu. Rev. Financ. Econ. 1 (1), 319-339, 2009 | 305 | 2009 |
Stock options and credit default swaps: A joint framework for valuation and estimation P Carr, L Wu Journal of Financial Econometrics 8 (4), 409-449, 2010 | 292 | 2010 |
A jump to default extended CEV model: an application of Bessel processes P Carr, V Linetsky Finance and Stochastics 10, 303-330, 2006 | 274 | 2006 |