Table of Contents

Spring 2023; Volume 30,Issue 3

Editor’s Letter

  • Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Spring 2023, 30 (3) 1-4; DOI: https://doi.org/10.3905/jod.2023.30.3.001

On the Term Structure of VIX Futures’ Implied Convexity

Improving and Extending the Wu-Zhu Static Hedge

Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation

Pricing Total Return Swaps

  • Pricing Total Return Swaps
    Wujiang Lou
    The Journal of Derivatives Spring 2023, 30 (3) 66-83; DOI: https://doi.org/10.3905/jod.2022.1.167

Sector Option Correlation Premiums and Predictable Changes in Implied Volatility

Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX

Back to top

Explore our content to discover more relevant research

In this issue