The Journal of Derivatives: 24 (3)

The Journal of Derivatives

Spring 2017; Volume 24,Issue 3

Open Access
Editor’s Letter
Stephen Figlewski

The Journal of Derivatives Spring 2017, 24 (3) 1-3; DOI: https://doi.org/10.3905/jod.2017.24.3.001
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Option Pricing via QUAD: From Black–Scholes–Merton to Heston with Jumps
Haozhe Su, Ding Chen and David P. Newton

The Journal of Derivatives Spring 2017, 24 (3) 9-27; DOI: https://doi.org/10.3905/jod.2017.24.3.009
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Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models
Grégoire Leblon and Franck Moraux

The Journal of Derivatives Spring 2017, 24 (3) 29-41; DOI: https://doi.org/10.3905/jod.2017.24.3.029
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Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option Markets
Ernest N. Biktimirov and Chunrong Wang

The Journal of Derivatives Spring 2017, 24 (3) 42-68; DOI: https://doi.org/10.3905/jod.2017.24.3.042
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Internal Valuation of Assets with Liquidity Risk
Bert-Jan Nauta

The Journal of Derivatives Spring 2017, 24 (3) 70-83; DOI: https://doi.org/10.3905/jod.2017.24.3.070
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Vulnerable Exotic Derivatives
Marcos Escobar, Mirco Mahlstedt, Sven Panz and Rudi Zagst

The Journal of Derivatives Spring 2017, 24 (3) 84-102; DOI: https://doi.org/10.3905/jod.2017.24.3.084