The Journal of Derivatives

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Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives
Junmei Ma, Wei Xu and Yi Yao

The Journal of Derivatives Winter 2021, 29 (2) 30-60; DOI: https://doi.org/10.3905/jod.2021.1.140
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A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density
Zhenyu Cui and Zixiao Yu

The Journal of Derivatives Winter 2021, 29 (2) 149-171; DOI: https://doi.org/10.3905/jod.2021.1.137
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Analytical Valuation of Compound Options under Regime-Switching Dynamics
Michèle Breton and Mbaye Ndoye

The Journal of Derivatives Winter 2021, 29 (2) 120-148; DOI: https://doi.org/10.3905/jod.2021.1.139
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Option Pricing with Greed and Fear Factor: The Rational Finance Approach
Abootaleb Shirvani, Frank J. Fabozzi, Boryana Racheva-Iotova and Svetlozar T. Rachev

The Journal of Derivatives Winter 2021, 29 (2) 77-119; DOI: https://doi.org/10.3905/jod.2021.1.138
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Winter 2021, 29 (2) 1-3; DOI: https://doi.org/10.3905/jod.2021.29.2.001
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Cover’s Rebalancing Option with Discrete Hindsight Optimization
Alex Garivaltis

The Journal of Derivatives Winter 2021, 29 (2) 8-29; DOI: https://doi.org/10.3905/jod.2021.1.135
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Pricing of Adverse Development Covers Using Option Pricing Methods
Eric Dal Moro

The Journal of Derivatives Winter 2021, 29 (2) 61-76; DOI: https://doi.org/10.3905/jod.2021.1.136
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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
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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
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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

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