Peter Carr

14 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-1628-8454

New York University

Publications

• Decomposing Long Bond Returns: A Decentralized Theory — Review of Finance 2023
• Option Profit and Loss Attribution and Pricing: A New Framework — The Journal of Finance 2020
• Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions — Journal of Financial and Quantitative Analysis 2017
• A Simple Robust Link Between American Puts and Credit Protection — The Review of Financial Studies 2011
• Variance Risk Premiums — The Review of Financial Studies 2009
• The Finite Moment Log Stable Process and Option Pricing — The Journal of Finance 2003
• What Type of Process Underlies Options? A Simple Robust Test — The Journal of Finance 2003
• The Valuation of Executive Stock Options in an Intensity-Based Framework — Review of Finance 2000
• The Variance Gamma Process and Option Pricing — Review of Finance 1998
• Randomization and the American Put — The Review of Financial Studies 1998
• Static Hedging of Exotic Options — The Journal of Finance 1998
• The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value — The Review of Financial Studies 1990
• The Valuation of Sequential Exchange Opportunities — The Journal of Finance 1988
• A Note on the Pricing of Commodity-Linked Bonds — The Journal of Finance 1987