Index by author
Winter 2020; Volume 28,Issue 2
D
Dong, Bing
- You have accessRisk Metrics Evaluation for Variable Annuities with Various Guaranteed BenefitsBing Dong, Jindong Wang and Wei XuThe Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
F
Fabozzi, Frank J.
- You have accessClosed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates ModelingVincenzo Russo, Rosella Giacometti and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104
- You have accessOption Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting FunctionAbootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
G
Giacometti, Rosella
- You have accessClosed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates ModelingVincenzo Russo, Rosella Giacometti and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104
H
Hu, Yuan
- You have accessOption Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting FunctionAbootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
L
Lin, Hui
- You have accessPricing of Basket Options by Conditioning and Moment MatchingPing Wu and Hui LinThe Journal of Derivatives Winter 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103
Little, Thomas
- You have accessThe Free Boundary for the American Put OptionThomas LittleThe Journal of Derivatives Winter 2020, 28 (2) 9-21; DOI: https://doi.org/10.3905/jod.2020.1.114
N
Newton, David P.
- You have accessWidening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR ModelHaozhe Su and David P. NewtonThe Journal of Derivatives Winter 2020, 28 (2) 22-46; DOI: https://doi.org/10.3905/jod.2020.1.105
P
Pimbley, Joseph M.
- Open AccessEditor’s LetterJoseph M. PimbleyThe Journal of Derivatives Winter 2020, 28 (2) 1-3; DOI: https://doi.org/10.3905/jod.2020.28.2.001
R
Rachev, Svetlozar T.
- You have accessOption Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting FunctionAbootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
Russo, Vincenzo
- You have accessClosed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates ModelingVincenzo Russo, Rosella Giacometti and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104
S
Shirvani, Abootaleb
- You have accessOption Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting FunctionAbootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives Winter 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
Su, Haozhe
- You have accessWidening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR ModelHaozhe Su and David P. NewtonThe Journal of Derivatives Winter 2020, 28 (2) 22-46; DOI: https://doi.org/10.3905/jod.2020.1.105
W
Wang, Jindong
- You have accessRisk Metrics Evaluation for Variable Annuities with Various Guaranteed BenefitsBing Dong, Jindong Wang and Wei XuThe Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
Wang, Qin Emma
- You have accessInformation Content of Options Trading Prior to Dividend InitiationsQin Emma WangThe Journal of Derivatives Winter 2020, 28 (2) 104-123; DOI: https://doi.org/10.3905/jod.2020.1.106
Wu, Ping
- You have accessPricing of Basket Options by Conditioning and Moment MatchingPing Wu and Hui LinThe Journal of Derivatives Winter 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103
X
Xu, Wei
- You have accessRisk Metrics Evaluation for Variable Annuities with Various Guaranteed BenefitsBing Dong, Jindong Wang and Wei XuThe Journal of Derivatives Winter 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
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The Journal of Derivatives
Vol. 28, Issue 2
Winter 2020