Table of Contents

Winter 2020; Volume 28,Issue 2

D

  1. Dong, Bing

    1. Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits
      Bing Dong, Jindong Wang and Wei Xu
      The Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109

F

  1. Fabozzi, Frank J.

    1. Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
      Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104
    2. Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
      Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102

G

  1. Giacometti, Rosella

    1. Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
      Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104

H

  1. Hu, Yuan

    1. Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
      Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102

L

  1. Lin, Hui

    1. Pricing of Basket Options by Conditioning and Moment Matching
      Ping Wu and Hui Lin
      The Journal of Derivatives Winter 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103

  2. Little, Thomas

    1. The Free Boundary for the American Put Option
      Thomas Little
      The Journal of Derivatives Winter 2020, 28 (2) 9-21; DOI: https://doi.org/10.3905/jod.2020.1.114

N

  1. Newton, David P.

    1. Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model
      Haozhe Su and David P. Newton
      The Journal of Derivatives Winter 2020, 28 (2) 22-46; DOI: https://doi.org/10.3905/jod.2020.1.105

P

  1. Pimbley, Joseph M.

    1. Open Access
      Editor’s Letter
      Joseph M. Pimbley
      The Journal of Derivatives Winter 2020, 28 (2) 1-3; DOI: https://doi.org/10.3905/jod.2020.28.2.001

R

  1. Rachev, Svetlozar T.

    1. Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
      Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102

  2. Russo, Vincenzo

    1. Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
      Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104

S

  1. Shirvani, Abootaleb

    1. Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
      Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. Fabozzi
      The Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102

  2. Su, Haozhe

    1. Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model
      Haozhe Su and David P. Newton
      The Journal of Derivatives Winter 2020, 28 (2) 22-46; DOI: https://doi.org/10.3905/jod.2020.1.105

W

  1. Wang, Jindong

    1. Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits
      Bing Dong, Jindong Wang and Wei Xu
      The Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109

  2. Wang, Qin Emma

    1. Information Content of Options Trading Prior to Dividend Initiations
      Qin Emma Wang
      The Journal of Derivatives Winter 2020, 28 (2) 104-123; DOI: https://doi.org/10.3905/jod.2020.1.106

  3. Wu, Ping

    1. Pricing of Basket Options by Conditioning and Moment Matching
      Ping Wu and Hui Lin
      The Journal of Derivatives Winter 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103

X

  1. Xu, Wei

    1. Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits
      Bing Dong, Jindong Wang and Wei Xu
      The Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
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