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Spring 2021; Volume 28,Issue 3

Editor’s Letter

  • Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2021, 28 (3) 1-3; DOI: https://doi.org/10.3905/jod.2021.28.3.001

Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation

Universal Arbitrage-Free Estimation of State Price Density

Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets

Analytical Valuation of Exotic Double Barrier Options

A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies

How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?

Can the Improved CMBO Strategies Beat the CMBO Index?

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