The Journal of Derivatives

Table of Contents

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

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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

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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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