By Sebastien Bossu, Professor of Finance, Worcester Polytechnic Institute
The Carr and Madan (1998) spanning formula is possibly the most famous result championed by Peter Carr, with far-reaching impact on the financial industry—most visibly the VIX—as well as academic research. This talk proposes to honor Peter’s legacy by expounding the formula in connection with related results, and presenting recent generalizations obtained under his broad guidance, with particular focus on multi-asset European options.
Peter Carr sadly passed away in the spring of 2022. Read our remembrance of his work with us here.
