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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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Table of Contents

Fall 2017; Volume 25,Issue 1

Editor’s Letter

  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Fall 2017, 25 (1) 1-3; DOI: https://doi.org/10.3905/jod.2017.25.1.001

Conic Option Pricing

  • You have access
    Conic Option Pricing
    Dilip B. Madan and Wim Schoutens
    The Journal of Derivatives Fall 2017, 25 (1) 10-36; DOI: https://doi.org/10.3905/jod.2017.25.1.010

A Simple and Efficient Two-Factor Willow Tree Method for Convertible Bond Pricing with Stochastic Interest Rate and Default Risk

  • You have access
    A Simple and Efficient Two-Factor Willow Tree Method for Convertible Bond Pricing with Stochastic Interest Rate and Default Risk
    Ling Lu and Wei Xu
    The Journal of Derivatives Fall 2017, 25 (1) 37-54; DOI: https://doi.org/10.3905/jod.2017.25.1.037

Short Interest, Bearish Option Trades, and Short-Sale Constraints

  • You have access
    Short Interest, Bearish Option Trades, and Short-Sale Constraints
    Brian Du
    The Journal of Derivatives Fall 2017, 25 (1) 55-70; DOI: https://doi.org/10.3905/jod.2017.25.1.055

An Energy Market Modeling Approach for Valuing Real Options

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    An Energy Market Modeling Approach for Valuing Real Options
    Marliese Uhrig-Homburg and Nils Unger
    The Journal of Derivatives Fall 2017, 25 (1) 71-86; DOI: https://doi.org/10.3905/jod.2017.25.1.071

Options Decimalization

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    Options Decimalization
    Faith Chin and Corey Garriott
    The Journal of Derivatives Fall 2017, 25 (1) 88-103; DOI: https://doi.org/10.3905/jod.2017.25.1.088

A Simple Closed-Form Formula for Pricing Basket Options

  • You have access
    A Simple Closed-Form Formula for Pricing Basket Options
    Kin Hung (Felix) Kan
    The Journal of Derivatives Fall 2017, 25 (1) 104-110; DOI: https://doi.org/10.3905/jod.2017.25.1.104
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The Journal of Derivatives: 25 (1)
The Journal of Derivatives
Vol. 25, Issue 1
Fall 2017
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