The Journal of Derivatives

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Model Risk in Risk Analysis for No-Negative-Equity-Guarantees
Jr-Wei Huang, Sharon S. Yang and Chuang-Chang Chang

The Journal of Derivatives Summer 2021, jod.2020.1.125; DOI: https://doi.org/10.3905/jod.2020.1.125
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An Arbitrage-Free Interpolation of Class C² for Option Prices
Fabien Le Floc’h

The Journal of Derivatives Summer 2021, jod.2020.1.119; DOI: https://doi.org/10.3905/jod.2020.1.119
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Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets
Sonnan Chen and Yuchi Gu

The Journal of Derivatives Spring 2021, jod.2020.1.124; DOI: https://doi.org/10.3905/jod.2020.1.124
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Universal Arbitrage-Free Estimation of State Price Density
Qi Hu and David Newton

The Journal of Derivatives Spring 2021, jod.2020.1.123; DOI: https://doi.org/10.3905/jod.2020.1.123
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Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model
Artem Dyachenko and Marc Oliver Rieger

The Journal of Derivatives Summer 2021, jod.2020.1.122; DOI: https://doi.org/10.3905/jod.2020.1.122
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How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?
Samuel Drapeau, Tan Wang and Tao Wang

The Journal of Derivatives Spring 2021, jod.2020.1.120; DOI: https://doi.org/10.3905/jod.2020.1.120
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Can the Improved CMBO Strategies Beat the CMBO Index?
Wei-Han Liu and Jow-Ran Chang

The Journal of Derivatives Spring 2021, jod.2020.1.121; DOI: https://doi.org/10.3905/jod.2020.1.121
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Analytical Valuation of Exotic Double Barrier Options
Jui-Jane Chang, Hui-Ming Pai and Ting-Pin Wu

The Journal of Derivatives Spring 2021, jod.2020.1.118; DOI: https://doi.org/10.3905/jod.2020.1.118
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Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation
Zhenyu Cui and Stephen Taylor

The Journal of Derivatives Spring 2021, jod.2020.1.116; DOI: https://doi.org/10.3905/jod.2020.1.116
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A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies
Massimo Costabile

The Journal of Derivatives Spring 2021, jod.2020.1.117; DOI: https://doi.org/10.3905/jod.2020.1.117

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