The Journal of Derivatives

Table of Contents

Fall 2021; Volume 29,Issue 1

Editor’s Letter

Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Fall 2021, 29 (1) 1-3; DOI: https://doi.org/10.3905/jod.2021.29.1.001

Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process

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Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process
Peter Carr and Andrey Itkin

The Journal of Derivatives Fall 2021, 29 (1) 9-26; DOI: https://doi.org/10.3905/jod.2021.1.133

Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees

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Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees
Tom P. Davis

The Journal of Derivatives Fall 2021, 29 (1) 49-69; DOI: https://doi.org/10.3905/jod.2021.1.130

Price Discovery in a New Futures Market: Micro E-Mini Index Futures

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Price Discovery in a New Futures Market: Micro E-Mini Index Futures
Athanasios P. Fassas

The Journal of Derivatives Fall 2021, 29 (1) 70-94; DOI: https://doi.org/10.3905/jod.2021.1.131

An Arbitrage-Free Real-World Model for Fractional Option Prices

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An Arbitrage-Free Real-World Model for Fractional Option Prices
Holger Fink

The Journal of Derivatives Fall 2021, 29 (1) 95-121; DOI: https://doi.org/10.3905/jod.2021.1.128

A Derivatives Pricing Model with Non-Cash Collateralization

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A Derivatives Pricing Model with Non-Cash Collateralization
Kazuhiro Takino

The Journal of Derivatives Fall 2021, 29 (1) 123-138; DOI: https://doi.org/10.3905/jod.2020.1.126

Testing and Mapping an Empirical Exercise Boundary for the American Put Option

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Testing and Mapping an Empirical Exercise Boundary for the American Put Option
Joseph M. Pimbley

The Journal of Derivatives Fall 2021, 29 (1) 139-147; DOI: https://doi.org/10.3905/jod.2021.1.134