The Journal of Derivatives: 18 (1)

The Journal of Derivatives

Fall 2010; Volume 18,Issue 1

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