PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS

By Peter P. Carr, Roger Lee. 2009

130 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3f11e28d9c7ac5683f284bd09ec9e62da555be61

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Peter P. Carr
2. Roger Lee
3. Peter Tankov
4. V. Todorov
5. Roger Lee
6. Martin Keller‐Ressel
7. Jim Gatheral
8. Aleksandar Mijatovic

In Finance

1. Roger Lee
2. Peter P. Carr
3. Peter Tankov
4. V. Todorov
5. Martin Keller‐Ressel
6. Liuren Wu
7. Roger Lee
8. Jan Kallsen

Citations in the corpus

• Robust Replication of Volatility Derivatives (2008, background): “Second, in contrast to approximate methods (such as Carr-Lee’s [13] use of a displaced lognormal to approximate the distribution of realized volatility) we find exact formulas for prices and hedges of volatility contracts.”