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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

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

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

Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits

Pricing of Basket Options by Conditioning and Moment Matching

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

Information Content of Options Trading Prior to Dividend Initiations

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