The Journal of Derivatives

Table of Contents

Summer 2003; Volume 10,Issue 4

Editorial

Open Access
Editor's Letter
Stephen Figlewski

The Journal of Derivatives Summer 2003, 10 (4) 7-8; DOI: https://doi.org/10.3905/jod.2003.390888

Primary Article

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Pricing Discretely Monitored Barrier Options by a Markov Chain
Jin-Chuan Duan, Evan Dudley, Geneviève Gauthier and Jean-Guy Simonato

The Journal of Derivatives Summer 2003, 10 (4) 9-31; DOI: https://doi.org/10.3905/jod.2003.319203
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Pricing Barrier Options with One-Factor Interest Rate Models
Grace C.H. Kuan and Nick Webber

The Journal of Derivatives Summer 2003, 10 (4) 33-50; DOI: https://doi.org/10.3905/jod.2003.319204
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Second Generation VaR and Risk-Adjusted Return on Capital
Don R Rich

The Journal of Derivatives Summer 2003, 10 (4) 51-61; DOI: https://doi.org/10.3905/jod.2003.319205
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Pricing Vulnerable Black-Scholes Options with Dynamic Default Barriers
Cho Hoi. Hui, Chi-Fai. Lo and H.C. Lee

The Journal of Derivatives Summer 2003, 10 (4) 62-69; DOI: https://doi.org/10.3905/jod.2003.319206
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Option Spread and Combination Trading
J. Scott Chaput and Louis H. Ederington

The Journal of Derivatives Summer 2003, 10 (4) 70-88; DOI: https://doi.org/10.3905/jod.2003.319207

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