The Journal of Derivatives

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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