Index by author

Summer 2003; Volume 10,Issue 4

C

  1. Chaput, J. Scott

    1. 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

D

  1. Duan, Jin-Chuan

    1. 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

  2. Dudley, Evan

    1. 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

E

  1. Ederington, Louis H.

    1. 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

F

  1. Figlewski, Stephen

    1. 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

G

  1. Gauthier, Geneviève

    1. 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

H

  1. Hui, Cho Hoi.

    1. 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

K

  1. Kuan, Grace C.H.

    1. 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

L

  1. Lee, H.C.

    1. 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

  2. Lo, Chi-Fai.

    1. 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

R

  1. Rich, Don R

    1. 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

S

  1. Simonato, Jean-Guy

    1. 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

W

  1. Webber, Nick

    1. 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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The Journal of Derivatives
Vol. 10, Issue 4
Summer 2003
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