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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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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

  • You have access
    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

Pricing and Hedging Options on Assets with Options on Related Assets

  • You have access
    Pricing and Hedging Options on Assets with Options on Related Assets
    Dilip B. Madan and King Wang
    The Journal of Derivatives Fall 2021, 29 (1) 27-47; DOI: https://doi.org/10.3905/jod.2021.1.132

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
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The Journal of Derivatives: 29 (1)
The Journal of Derivatives
Vol. 29, Issue 1
Fall 2021
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