1999
Option valuation using the fast Fourier transform
The Journal of Computational FinanceCore
2.3k
cites
Faculty
Peter Carr is a Finance scholar at New York University. Research spans Capital Investment and Risk Analysis, Financial Markets and Investment Strategies, Financial Risk and Volatility Modeling. 214 works, 19k citations (h-index 55).
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Dept. Chair · NYU Polytechnic School of Engineering
The Journal of Computational FinanceCore
Dilip B. Madan, Peter Carr, Eric Chieh C. Chang
European Finance ReviewTop-listed
Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor
The Journal of BusinessCore