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23
Optimal Exercise of Executive Stock Options and
"... 1Preliminary and incomplete. Please do not cite without permission. We would like to thank Peter Carr and Peter Lakner for helpful comments and suggestions. We also thank Rik Sen for research assistance. ..."
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1Preliminary and incomplete. Please do not cite without permission. We would like to thank Peter Carr and Peter Lakner for helpful comments and suggestions. We also thank Rik Sen for research assistance.
Asset Pricing Under The Quadratic Class
- Journal of Financial and Quantitative Analysis
, 2002
"... We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector. We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We consider asset pricing in general and derivative ..."
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Cited by 77 (14 self)
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Banking Institute, University of Zurich, Plattenstr. 14, 8032 Zurich, Switzerland and Graduate School of Business, Fordham University, 113 West 60th Street, New York, NY 10023, USA, respectively. We thank Marco Avellaneda, David Backus, Peter Carr, Pierre Collin, Silverio Foresi, Michael Gallmeyer
carr.indd 1 25/4/07 17:01:14cutting edge. volatility options
"... Realised volatility and variance: options via swaps Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps – or alternatively vanilla options – as pricing benchmarks and hedging instrum ..."
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Realised volatility and variance: options via swaps Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps – or alternatively vanilla options – as pricing benchmarks and hedging
Simulating Bermudan Interest Rate Derivatives
, 1997
"... We use simulation to develop a Markov chain approximation for the value of caplets and Bermudan interest rate derivatives in the Market Model developed by Brace, Gatarek, and Musiela (1995) and Jamshidian (1996a,b). One and two factor versions of the Market Model were numerically studied. Our approa ..."
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Cited by 16 (1 self)
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approach yields numerical values for caplets which are in close agreement with analytic solutions. We also provide numerical solutions for several Bermudan swaptions. Peter Carr, Guang Yang Morgan Stanley Open Link Financial 1585 Broadway, 6th Floor 333 Earle Ovington Blvd., 6th Floor New York, NY, 10036
Seminar For a Face to Face with Greatness seminar in your area, click here.
"... In my home state, and probably in yours, we often hear about the deplorable state of public education. The cure always involves more money, either to shrink classroom size, to hike administrator’s salaries, to install a few extra computers, or to build shiny new buildings. Some states even shovel so ..."
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some of that money back to the parents in order to force the public schools to “compete ” for those same dollars. But what if the real cure isn’t about money and gadgets and buildings? In choosing a path for education and for life, Thomas Jefferson outlined a course of education for one Peter Carr over
Simulating American Bond Options in an HJM Framework
, 1998
"... This paper develops a method called Markov Chain Approximation (MCA) to approximate the value of American bond options in a general multi-factor Heath-JarrowMorton (HJM) framework. Our approach is based on the methodology of Barraquand and Martineau (1995), which was developed for processes which ar ..."
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Cited by 6 (0 self)
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are Markovian in a finite number of state variables. We have extended their methodology to the HJM setting, which in general is only Markovian in an infinite number of state variables. The numerical results obtained from our MCA compare quite closely with closed form or tree solutions. Peter Carr Guang Yang
New solvable stochastic volatility models for pricing volatility derivatives
- Review of Derivatives Research
"... Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter γ takes just few values: 0- the Ornstein-Uhlenbeck process, 1/2- the Heston (or square root) process, 1-GARCH, and 3/2- the 3/2 model. Some other models were discovered in Henry ..."
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Cited by 2 (0 self)
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confluent hypergeometric equa-tion) and existing SVM. In this paper we discuss another approach to extend the class of solvable SVM in terms of hypergeometric functions. Thus obtained new models could be useful for pricing volatility derivatives (variance and volatility swaps, moment swaps). ∗I thank Peter
The Sensitivity of American Options to Suboptimal Exercise Strategies
, 2008
"... The value of American options depends on the exercise policy followed by option holders. Market frictions, risk aversion, or model risk, for example, can result in sub-optimal behavior. We study the sensitivity of American options to suboptimal exercise strategies. We show that a measure of this sen ..."
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Cited by 1 (0 self)
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to suboptimal exercise, if B and eB are not far away, which has a quadratic cost. We are grateful to Peter Carr, Francis Longsta¤, and Richard Stanton for helpful comments. This paper has been accepted for presentation at the 2008 Global Derivative Securities Conference (Paris) and the 2008 WFA meetings (Hawaii
Simple Robust Hedging with Nearby Contracts
"... Abstract Most existing hedging approaches are based on neutralizing risk exposures defined under a pre-specified model. This paper proposes a new, simple, and robust hedging approach based on the affinity of the derivative contracts. As a result, the strategy does not depend on assumptions on the u ..."
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on S&P 500 index option further highlights the superior performance of our strategy. JEL Classification: E43, E47, G10, G12, C51. Keywords: options, static hedging, forward partial differential equation, local volatility. We thank Peter Carr, Tom Hurd, and seminar participants at Mc
Option pricing l
"... Why be backward? Originally developed as a tool for calibrating smile models, so-called forward methods can also be used to price options and derive Greeks. Here, Peter Carr and Ali Hirsa apply the technique to the pricing of continuously exercisable American-style put options, developing a forward ..."
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Why be backward? Originally developed as a tool for calibrating smile models, so-called forward methods can also be used to price options and derive Greeks. Here, Peter Carr and Ali Hirsa apply the technique to the pricing of continuously exercisable American-style put options, developing a forward
Results 1 - 10
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