Index by author

Article

• Open Access

  Editor’s Letter

  Stephen Figlewski

  The Journal of Derivatives Fall 2010, 18 (1) 1-2; DOI: https://doi.org/10.3905/jod.2010.18.1.001
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  A Fully Coupled Solution Algorithm for Pricing Options with Complex Barrier Structures

  Zili Zhu and Frank de Hoog

  The Journal of Derivatives Fall 2010, 18 (1) 9-17; DOI: https://doi.org/10.3905/jod.2010.18.1.009
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  Fast Analytic Option Valuation with GARCH

  Thomas Mazzoni

  The Journal of Derivatives Fall 2010, 18 (1) 18-38; DOI: https://doi.org/10.3905/jod.2010.18.1.018
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  An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying Volatility

  Dinghai Xu and Tony S. Wirjanto

  The Journal of Derivatives Fall 2010, 18 (1) 39-58; DOI: https://doi.org/10.3905/jod.2010.18.1.039
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  Step Double Barrier Options

  Tristan Guillaume

  The Journal of Derivatives Fall 2010, 18 (1) 59-79; DOI: https://doi.org/10.3905/jod.2010.18.1.059
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  Liquidity Options

  Maxim Golts and Mark Kritzman

  The Journal of Derivatives Fall 2010, 18 (1) 80-89; DOI: https://doi.org/10.3905/jod.2010.18.1.080