Table of Contents

Spring 2020; Volume 27,Issue 3

C

  1. Calice, Giovanni

    1. Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales
      Giovanni Calice, Jing Chen and Julian Williams
      The Journal of Derivatives Spring 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094

  2. Chen, Jing

    1. Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales
      Giovanni Calice, Jing Chen and Julian Williams
      The Journal of Derivatives Spring 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094

G

  1. Galeeva, Roza

    1. Parameterized Calendar Correlations: Decoding Oil and Beyond
      Roza Galeeva and Thomas Haversang
      The Journal of Derivatives Spring 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093

  2. Guo, Shuxin

    1. Efficient Out-of-Sample Pricing of VIX Futures
      Shuxin Guo and Qiang Liu
      The Journal of Derivatives Spring 2020, 27 (3) 126-139; DOI: https://doi.org/10.3905/jod.2019.1.089

H

  1. Haversang, Thomas

    1. Parameterized Calendar Correlations: Decoding Oil and Beyond
      Roza Galeeva and Thomas Haversang
      The Journal of Derivatives Spring 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093

  2. Huang, Sihuan

    1. An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
      Junmei Ma, Sihuan Huang and Wei Xu
      The Journal of Derivatives Spring 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092

L

  1. Liu, Qiang

    1. Efficient Out-of-Sample Pricing of VIX Futures
      Shuxin Guo and Qiang Liu
      The Journal of Derivatives Spring 2020, 27 (3) 126-139; DOI: https://doi.org/10.3905/jod.2019.1.089

M

  1. Ma, Junmei

    1. An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
      Junmei Ma, Sihuan Huang and Wei Xu
      The Journal of Derivatives Spring 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092

P

  1. Pimbley, Joseph M.

    1. Open Access
      Editor’s Letter
      Joseph M. Pimbley
      The Journal of Derivatives Spring 2020, 27 (3) 1-2; DOI: https://doi.org/10.3905/jod.2020.27.3.001

R

  1. Rebonato, Riccardo

    1. What Does Today’s Smile Imply About Future Volatilities?
      Riccardo Rebonato
      The Journal of Derivatives Spring 2020, 27 (3) 26-44; DOI: https://doi.org/10.3905/jod.2019.1.091

  2. Reinke, Martin

    1. Risk-Neutral Density Estimation: Looking at the Tails
      Martin Reinke
      The Journal of Derivatives Spring 2020, 27 (3) 99-125; DOI: https://doi.org/10.3905/jod.2019.1.090

W

  1. Williams, Julian

    1. Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed Timescales
      Giovanni Calice, Jing Chen and Julian Williams
      The Journal of Derivatives Spring 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094

X

  1. Xu, Wei

    1. An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
      Junmei Ma, Sihuan Huang and Wei Xu
      The Journal of Derivatives Spring 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
Back to top

Explore our content to discover more relevant research

In this issue