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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

Summer 2018; Volume 25,Issue 4

Editor’s Letter

  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Summer 2018, 25 (4) 1-3; DOI: https://doi.org/10.3905/jod.2018.25.4.001

Implied Volatility across Geographical Markets and Asset Classes

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    Implied Volatility across Geographical Markets and Asset Classes
    Julian P. Velev, Brian C. Payne, Jiri Tresl and Wilfredo Toledo
    The Journal of Derivatives Summer 2018, 25 (4) 7-23; DOI: https://doi.org/10.3905/jod.2018.1.065

Volatility Aversion in the Options Market Based on News Sentiment

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    Volatility Aversion in the Options Market Based on News Sentiment
    Matthias W. Uhl
    The Journal of Derivatives Summer 2018, 25 (4) 24-35; DOI: https://doi.org/10.3905/jod.2018.25.4.024

An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs

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    An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous Beliefs
    Shu Feng, Xiaoling Pu and Yi Zhang
    The Journal of Derivatives Summer 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036

Another Look at the Ho–Lee Bond Option Pricing Model

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    Another Look at the Ho–Lee Bond Option Pricing Model
    Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi
    The Journal of Derivatives Summer 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048

New Approach to Estimating VIX Truncation Errors Using Corridor Variance Swaps

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    New Approach to Estimating VIX Truncation Errors Using Corridor Variance Swaps
    Desheng Wu and Tianxiang Liu
    The Journal of Derivatives Summer 2018, 25 (4) 54-70; DOI: https://doi.org/10.3905/jod.2018.1.066

Options and the Gamma Knife

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    Options and the Gamma Knife
    Ian Martin
    The Journal of Derivatives Summer 2018, 25 (4) 71-79; DOI: https://doi.org/10.3905/jod.2018.25.4.071
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The Journal of Derivatives: 25 (4)
The Journal of Derivatives
Vol. 25, Issue 4
Summer 2018
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