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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 2020; Volume 28,Issue 2

Editor’s Letter

  • 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

The Free Boundary for the American Put Option

  • You have access
    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

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

  • You have access
    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

Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function

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    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

Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits

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    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

Pricing of Basket Options by Conditioning and Moment Matching

  • You have access
    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

Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling

  • You have access
    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

Information Content of Options Trading Prior to Dividend Initiations

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    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
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The Journal of Derivatives: 28 (2)
The Journal of Derivatives
Vol. 28, Issue 2
Winter 2020
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