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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

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Index by author

Summer 2021; Volume 28,Issue 4

Editor’s Letter

  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Summer 2021, 28 (4) 1-2; DOI: https://doi.org/10.3905/jod.2021.28.4.001

The Premium Reduction of European, American, and Perpetual Log Return Options

  • You have access
    The Premium Reduction of European, American, and Perpetual Log Return Options
    Stephen Taylor and Jan Vecer
    The Journal of Derivatives Summer 2021, 28 (4) 7-23; DOI: https://doi.org/10.3905/jod.2020.1.115

Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model

  • You have access
    Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model
    Artem Dyachenko and Marc Oliver Rieger
    The Journal of Derivatives Summer 2021, 28 (4) 24-44; DOI: https://doi.org/10.3905/jod.2020.1.122

Bias Correction for Bond Option Greeks via Jackknife

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    Bias Correction for Bond Option Greeks via Jackknife
    Jinyu Zhang, Kang Gao and Yong Li
    The Journal of Derivatives Summer 2021, 28 (4) 45-63; DOI: https://doi.org/10.3905/jod.2021.1.129

An Arbitrage-Free Interpolation of Class C2 for Option Prices

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    An Arbitrage-Free Interpolation of Class C2 for Option Prices
    Fabien Le Floc’h
    The Journal of Derivatives Summer 2021, 28 (4) 64-86; DOI: https://doi.org/10.3905/jod.2020.1.119

Model Risk in Risk Analysis for No-Negative-Equity-Guarantees

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    Model Risk in Risk Analysis for No-Negative-Equity-Guarantees
    Jr-Wei Huang, Sharon S. Yang and Chuang-Chang Chang
    The Journal of Derivatives Summer 2021, 28 (4) 87-110; DOI: https://doi.org/10.3905/jod.2020.1.125

A Closed-Form Model-Free Implied Volatility Formula through Delta Families

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    A Closed-Form Model-Free Implied Volatility Formula through Delta Families
    Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Taylor
    The Journal of Derivatives Summer 2021, 28 (4) 111-127; DOI: https://doi.org/10.3905/jod.2020.1.127
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The Journal of Derivatives: 28 (4)
The Journal of Derivatives
Vol. 28, Issue 4
Summer 2021
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