Index by author

Spring 2021; Volume 28,Issue 3

C

  1. Chang, Jow-Ran

    1. Can the Improved CMBO Strategies Beat the CMBO Index?
      Wei-Han Liu and Jow-Ran Chang
      The Journal of Derivatives Spring 2021, 28 (3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121

  2. Chang, Jui-Jane

    1. Analytical Valuation of Exotic Double Barrier Options
      Jui-Jane Chang, Hui-Ming Pai and Ting-Pin Wu
      The Journal of Derivatives Spring 2021, 28 (3) 97-122; DOI: https://doi.org/10.3905/jod.2020.1.118

  3. Chen, Sonnan

    1. Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
      Sonnan Chen and Yuchi Gu
      The Journal of Derivatives Spring 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124

  4. Costabile, Massimo

    1. A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies
      Massimo Costabile
      The Journal of Derivatives Spring 2021, 28 (3) 123-139; DOI: https://doi.org/10.3905/jod.2020.1.117

  5. Cui, Zhenyu

    1. Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
      Zhenyu Cui and Stephen Taylor
      The Journal of Derivatives Spring 2021, 28 (3) 8-33; DOI: https://doi.org/10.3905/jod.2020.1.116

D

  1. Drapeau, Samuel

    1. How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
      Samuel Drapeau, Tan Wang and Tao Wang
      The Journal of Derivatives Spring 2021, 28 (3) 140-161; DOI: https://doi.org/10.3905/jod.2020.1.120

G

  1. Gu, Yuchi

    1. Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
      Sonnan Chen and Yuchi Gu
      The Journal of Derivatives Spring 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124

H

  1. Hu, Qi

    1. Universal Arbitrage-Free Estimation of State Price Density
      Qi Hu and David Newton
      The Journal of Derivatives Spring 2021, 28 (3) 35-59; DOI: https://doi.org/10.3905/jod.2020.1.123

L

  1. Liu, Wei-Han

    1. Can the Improved CMBO Strategies Beat the CMBO Index?
      Wei-Han Liu and Jow-Ran Chang
      The Journal of Derivatives Spring 2021, 28 (3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121

N

  1. Newton, David

    1. Universal Arbitrage-Free Estimation of State Price Density
      Qi Hu and David Newton
      The Journal of Derivatives Spring 2021, 28 (3) 35-59; DOI: https://doi.org/10.3905/jod.2020.1.123

P

  1. Pai, Hui-Ming

    1. Analytical Valuation of Exotic Double Barrier Options
      Jui-Jane Chang, Hui-Ming Pai and Ting-Pin Wu
      The Journal of Derivatives Spring 2021, 28 (3) 97-122; DOI: https://doi.org/10.3905/jod.2020.1.118

  2. Pimbley, Joseph M.

    1. 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

T

  1. Taylor, Stephen

    1. Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
      Zhenyu Cui and Stephen Taylor
      The Journal of Derivatives Spring 2021, 28 (3) 8-33; DOI: https://doi.org/10.3905/jod.2020.1.116

W

  1. Wang, Tan

    1. How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
      Samuel Drapeau, Tan Wang and Tao Wang
      The Journal of Derivatives Spring 2021, 28 (3) 140-161; DOI: https://doi.org/10.3905/jod.2020.1.120

  2. Wang, Tao

    1. How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
      Samuel Drapeau, Tan Wang and Tao Wang
      The Journal of Derivatives Spring 2021, 28 (3) 140-161; DOI: https://doi.org/10.3905/jod.2020.1.120

  3. Wu, Ting-Pin

    1. Analytical Valuation of Exotic Double Barrier Options
      Jui-Jane Chang, Hui-Ming Pai and Ting-Pin Wu
      The Journal of Derivatives Spring 2021, 28 (3) 97-122; DOI: https://doi.org/10.3905/jod.2020.1.118
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