Table of Contents

Primary Article

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  A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option

  Svetlana Borovkova, Ferry J. Permana and Hans V.D. Weide

  The Journal of Derivatives Summer 2007, 14 (4) 8-24; DOI: https://doi.org/10.3905/jod.2007.686420
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  A Tree Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk

  Donald R. Chambers and Qin Lu

  The Journal of Derivatives Summer 2007, 14 (4) 25-46; DOI: https://doi.org/10.3905/jod.2007.686421
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  Calibration Risk for Exotic Options

  K. Detlefsen and Wolfgang K. Härdle

  The Journal of Derivatives Summer 2007, 14 (4) 47-63; DOI: https://doi.org/10.3905/jod.2007.686422
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  An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices

  Brian Norsk Huge and Niels Rom–Poulsen

  The Journal of Derivatives Summer 2007, 14 (4) 64-86; DOI: https://doi.org/10.3905/jod.2007.686423
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  Transitional Densities of Diffusion Processes

  A.S. Hurn, J.I. Jeisman and K.A. Lindsay

  The Journal of Derivatives Summer 2007, 14 (4) 86-94; DOI: https://doi.org/10.3905/jod.2007.686424