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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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Index by author

Fall 2018; Volume 26,Issue 1

Editor’s Letter

  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Fall 2018, 26 (1) 1-2; DOI: https://doi.org/10.3905/jod.2018.26.1.001

Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model

  • You have access
    Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model
    Charles Chang, Hung-Wen Cheng and Cheng-Der Fuh
    The Journal of Derivatives Fall 2018, 26 (1) 7-25; DOI: https://doi.org/10.3905/jod.2018.1.067

A Flexible Lattice Model for Pricing Contingent Claims under Multiple Risk Factors

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    A Flexible Lattice Model for Pricing Contingent Claims under Multiple Risk Factors
    Emilio Russo and Alessandro Staino
    The Journal of Derivatives Fall 2018, 26 (1) 27-44; DOI: https://doi.org/10.3905/jod.2018.26.1.027

Implied Volatility Estimation via ℓ1 Trend Filtering

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    Implied Volatility Estimation via ℓ1 Trend Filtering
    Pablo Crespo and Ta-Cheng Huang
    The Journal of Derivatives Fall 2018, 26 (1) 45-66; DOI: https://doi.org/10.3905/jod.2018.26.1.045

Forgive, or Award Your Debtor? A Barrier Option Approach

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    Forgive, or Award Your Debtor? A Barrier Option Approach
    David Sun and Chun-Da Chen
    The Journal of Derivatives Fall 2018, 26 (1) 67-95; DOI: https://doi.org/10.3905/jod.2018.1.068

No Economic Catastrophe Bonds

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    No Economic Catastrophe Bonds
    Andreas Blöchlinger
    The Journal of Derivatives Fall 2018, 26 (1) 97-108; DOI: https://doi.org/10.3905/jod.2018.26.1.097

Remembering Peter Christoffersen (1967–2018)

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    Remembering Peter Christoffersen (1967–2018)
    Bo Young Chang, Kris Jacobs, Chayawat Ornthanalai and Stephen Figlewski
    The Journal of Derivatives Fall 2018, 26 (1) 109-111; DOI: https://doi.org/10.3905/jod.2018.26.1.109
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The Journal of Derivatives: 26 (1)
The Journal of Derivatives
Vol. 26, Issue 1
Fall 2018
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