The Journal of Derivatives

Index by author

Summer 2019; Volume 26,Issue 4

Editor’s Letter

Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Summer 2019, 26 (4) 1-3; DOI: https://doi.org/10.3905/jod.2019.26.4.001

Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions

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Range-Curtailing for Options with Discrete Dividend Payments under General Diffusions
Deeveya Thakoor and Muddun Bhuruth

The Journal of Derivatives Summer 2019, 26 (4) 9-34; DOI: https://doi.org/10.3905/jod.2019.26.4.009

Exact Replication of the Best Rebalancing Rule in Hindsight

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Exact Replication of the Best Rebalancing Rule in Hindsight
Alex Garivaltis

The Journal of Derivatives Summer 2019, 26 (4) 35-53; DOI: https://doi.org/10.3905/jod.2019.26.4.035

A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends

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A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends
Shuxin Guo and Qiang Liu

The Journal of Derivatives Summer 2019, 26 (4) 54-70; DOI: https://doi.org/10.3905/jod.2019.26.4.054

Long and Short Memory in the Risk-Neutral Pricing Process

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Long and Short Memory in the Risk-Neutral Pricing Process
Young Shin Kim, Danling Jiang and Stoyan Stoyanov

The Journal of Derivatives Summer 2019, 26 (4) 71-88; DOI: https://doi.org/10.3905/jod.2019.1.077

Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis

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Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis
Oyakhilome Ibhagui

The Journal of Derivatives Summer 2019, 26 (4) 89-112; DOI: https://doi.org/10.3905/jod.2019.1.073

A Stochastic-Volatility Model for Pricing Power Variants of Exchange Options

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A Stochastic-Volatility Model for Pricing Power Variants of Exchange Options
Weixuan Xia

The Journal of Derivatives Summer 2019, 26 (4) 113-127; DOI: https://doi.org/10.3905/jod.2019.1.074

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

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Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes
Michael Hanke, Rolf Poulsen and Alex Weissensteiner

The Journal of Derivatives Summer 2019, 26 (4) 128-143; DOI: https://doi.org/10.3905/jod.2019.26.4.128

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