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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

Winter 2019; Volume 27,Issue 2

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Winter 2019, 27 (2) 1-2; DOI: https://doi.org/10.3905/jod.2019.27.2.001

Geometric Local Variance Gamma Model

  • You have access
    Geometric Local Variance Gamma Model
    P. Carr and A. Itkin
    The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084

Model Uncertainty and Pricing Performance in Option Valuation

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    Model Uncertainty and Pricing Performance in Option Valuation
    Dennis Bams, Gildas Blanchard and Thorsten Lehnert
    The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086

The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly

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    The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
    Robert Brooks, Don Chance and Michael Hemler
    The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087

Fourier Method for Valuation of Options under Parameter and State Uncertainty

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    Fourier Method for Valuation of Options under Parameter and State Uncertainty
    Erik Lindström
    The Journal of Derivatives Winter 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085

Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes

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    Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
    Poh Ling Neo and Chyng Wen Tee
    The Journal of Derivatives Winter 2019, 27 (2) 81-107; DOI: https://doi.org/10.3905/jod.2019.1.083

Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model

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    Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
    Xin-Jiang He and Song-Ping Zhu
    The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
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The Journal of Derivatives: 27 (2)
The Journal of Derivatives
Vol. 27, Issue 2
Winter 2019
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