The Journal of Derivatives

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A Stochastic-Volatility Model for Pricing Power Variants of Exchange Options
Weixuan Xia

The Journal of Derivatives Summer 2019, 26 (4) 113-127; DOI: https://doi.org/10.3905/jod.2019.1.074
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Summer 2019, 26 (4) 1-3; DOI: https://doi.org/10.3905/jod.2019.26.4.001
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A Simple Accurate Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends
Shuxin Guo and Qiang Liu

The Journal of Derivatives Summer 2019, 26 (4) 54-70; DOI: https://doi.org/10.3905/jod.2019.26.4.054
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Long and Short Memory in the Risk-Neutral Pricing Process
Young Shin Kim, Danling Jiang and Stoyan Stoyanov

The Journal of Derivatives Summer 2019, 26 (4) 71-88; DOI: https://doi.org/10.3905/jod.2019.1.077
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Exact Replication of the Best Rebalancing Rule in Hindsight
Alex Garivaltis

The Journal of Derivatives Summer 2019, 26 (4) 35-53; DOI: https://doi.org/10.3905/jod.2019.26.4.035
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Interrelations among Cross-Currency Basis Swap Spreads: Pre- and Post-Crisis Analysis
Oyakhilome Ibhagui

The Journal of Derivatives Summer 2019, 26 (4) 89-112; DOI: https://doi.org/10.3905/jod.2019.1.073
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Pricing Bermudan Variance Swaptions Using Multinomial Trees
Honglei Zhao, Rupak Chatterjee, Thomas Lonon and Ionuţ Florescu

The Journal of Derivatives Spring 2019, 26 (3) 22-34; DOI: https://doi.org/10.3905/jod.2019.26.3.022
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Volatility Surface Calibration to Illiquid Options
László Nagy and Mihály Ormos

The Journal of Derivatives Spring 2019, 26 (3) 87-96; DOI: https://doi.org/10.3905/jod.2019.26.3.087
Open Access
Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Spring 2019, 26 (3) 1-3; DOI: https://doi.org/10.3905/jod.2019.26.3.001
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Currency Target Zones as Mirrored Options
Sandro Claudio Lera, Matthias Leiss and Didier Sornette

The Journal of Derivatives Spring 2019, 26 (3) 53-67; DOI: https://doi.org/10.3905/jod.2019.26.3.053

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