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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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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

  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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
  • You have access
    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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The Journal of Derivatives
Vol. 10, Issue 4
Summer 2003
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