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The Journal of Derivatives

The Journal of Derivatives

Advanced Search

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Latest Articles

  • You have access
    Parameterized Calendar Correlations: Decoding Oil and Beyond
    Roza Galeeva and Thomas Haversang
    The Journal of Derivatives Spring 2020, jod.2019.1.093; DOI: https://doi.org/10.3905/jod.2019.1.093
  • You have access
    An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility Models
    Junmei Ma, Sihuan Huang and Wei Xu
    The Journal of Derivatives Spring 2020, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
  • Open Access
    Editor’s Letter
    Joseph M. Pimbley
    The Journal of Derivatives Winter 2019, 27 (2) 1-2; DOI: https://doi.org/10.3905/jod.2019.27.2.001
  • You have access
    Geometric Local Variance Gamma Model
    P. Carr and A. Itkin
    The Journal of Derivatives Winter 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084
  • You have access
    Model Uncertainty and Pricing Performance in Option Valuation
    Dennis Bams, Gildas Blanchard and Thorsten Lehnert
    The Journal of Derivatives Winter 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086
  • You have access
    Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching Model
    Xin-Jiang He and Song-Ping Zhu
    The Journal of Derivatives Winter 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
  • You have access
    The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an Anomaly
    Robert Brooks, Don Chance and Michael Hemler
    The Journal of Derivatives Winter 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087
  • You have access
    Fourier Method for Valuation of Options under Parameter and State Uncertainty
    Erik Lindström
    The Journal of Derivatives Winter 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085
  • You have access
    Swaption Portfolio Risk Management: Optimal Model Selection in Different Interest Rate Regimes
    Poh Ling Neo and Chyng Wen Tee
    The Journal of Derivatives Winter 2019, 27 (2) 81-107; DOI: https://doi.org/10.3905/jod.2019.1.083
  • You have access
    What Does Today’s Smile Imply About Future Volatilities?
    Riccardo Rebonato
    The Journal of Derivatives Spring 2020, jod.2019.1.091; DOI: https://doi.org/10.3905/jod.2019.1.091

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