The Journal of Derivatives

Latest Articles

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, jod.2019.1.087; DOI: https://doi.org/10.3905/jod.2019.1.087
You have access
Model Uncertainty and Pricing Performance in Option Valuation
Dennis Bams, Gildas Blanchard and Thorsten Lehnert

The Journal of Derivatives Winter 2019, jod.2019.1.086; DOI: https://doi.org/10.3905/jod.2019.1.086
You have access
Fourier Method for Valuation of Options under Parameter and State Uncertainty
Erik Lindström

The Journal of Derivatives Winter 2019, jod.2019.1.085; DOI: https://doi.org/10.3905/jod.2019.1.085
You have access
Geometric Local Variance Gamma Model
P. Carr and A. Itkin

The Journal of Derivatives Winter 2019, jod.2019.1.084; DOI: https://doi.org/10.3905/jod.2019.1.084
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, jod.2019.1.083; DOI: https://doi.org/10.3905/jod.2019.1.083
You have access
Remembering Mark Rubinstein
Menachem Brenner, Emanuel Derman, Robert Jarrow and Eric Reiner

The Journal of Derivatives Fall 2019, 27 (1) 8-13; DOI: https://doi.org/10.3905/jod.2019.1.082
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Fall 2019, 27 (1) 1-3; DOI: https://doi.org/10.3905/jod.2019.27.1.001
You have access
Quadrinomial Trees to Value Options in Stochastic Volatility Models
Julián A. Pareja-Vasseur and Freddy H. Marín-Sánchez

The Journal of Derivatives Fall 2019, 27 (1) 49-66; DOI: https://doi.org/10.3905/jod.2019.1.076
You have access
American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang and Brian Byrne

The Journal of Derivatives Fall 2019, 27 (1) 92-108; DOI: https://doi.org/10.3905/jod.2019.1.080
You have access
Towards a General Local Volatility Model for All Asset Classes
Dariusz Gatarek and Juliusz Jabłecki

The Journal of Derivatives Fall 2019, 27 (1) 14-31; DOI: https://doi.org/10.3905/jod.2019.1.079

Main menu

User menu

Search

The Journal of Derivatives

Latest Articles

Pages

MORE FROM PMR

INFORMATION FOR

GET INVOLVED

Main menu

User menu

Search

Latest Articles

Pages

Stay Connected