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Peter Laurence · Study
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Author
Peter Laurence
10 works
· latest 2017
· 3 institutions
cluster: provisional
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10
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10
Citations
642
Works here
10
99
05
08
10
13
17
Most cited in this library
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
2010 · 165 citations
Static-arbitrage upper bounds for the prices of basket options
2005 · 128 citations
Quantitative Modeling of Derivative Securities: From Theory To Practice
1999 · 86 citations
Static-arbitrage optimal subreplicating strategies for basket options
2005 · 56 citations
Sharp Upper and Lower Bounds for Basket Options
2005 · 51 citations
Works
10 shown
Quantitative Modeling of Derivative Securities
Routledge eBooks
·
2017
·
1 author
·
book
29
citations
Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
Communications on Pure and Applied Mathematics
·
2013
·
2 authors
35
citations
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Mathematical Finance
·
2010
·
5 authors
165
citations
Regularity of the free boundary of an American option on several assets
Communications on Pure and Applied Mathematics
·
2008
·
2 authors
41
citations
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
Insurance Mathematics and Economics
·
2008
·
2 authors
25
citations
Distribution-free upper bounds for spread options and market-implied antimonotonicity gap
European Journal of Finance
·
2008
·
2 authors
26
citations
Sharp Upper and Lower Bounds for Basket Options
Applied Mathematical Finance
·
2005
·
2 authors
·
Open access
51
citations
Static-arbitrage upper bounds for the prices of basket options
Quantitative Finance
·
2005
·
3 authors
128
citations
Static-arbitrage optimal subreplicating strategies for basket options
Insurance Mathematics and Economics
·
2005
·
3 authors
56
citations
Quantitative Modeling of Derivative Securities: From Theory To Practice
·
1999
·
2 authors
86
citations