The Journal of Derivatives

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Cover’s Rebalancing Option with Discrete Hindsight Optimization
Alex Garivaltis

The Journal of Derivatives Winter 2021, jod.2021.1.135; DOI: https://doi.org/10.3905/jod.2021.1.135
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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, 28 (3) 97-122; DOI: https://doi.org/10.3905/jod.2020.1.118
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How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
Samuel Drapeau, Tan Wang and Tao Wang

The Journal of Derivatives Spring 2021, 28 (3) 140-161; DOI: https://doi.org/10.3905/jod.2020.1.120
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Editor’s Letter
Joseph M. Pimbley

The Journal of Derivatives Spring 2021, 28 (3) 1-3; DOI: https://doi.org/10.3905/jod.2021.28.3.001
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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, 28 (3) 8-33; DOI: https://doi.org/10.3905/jod.2020.1.116
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Universal Arbitrage-Free Estimation of State Price Density
Qi Hu and David Newton

The Journal of Derivatives Spring 2021, 28 (3) 35-59; DOI: https://doi.org/10.3905/jod.2020.1.123
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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, 28 (3) 163-183; DOI: https://doi.org/10.3905/jod.2020.1.121
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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, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124
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A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies
Massimo Costabile

The Journal of Derivatives Spring 2021, 28 (3) 123-139; DOI: https://doi.org/10.3905/jod.2020.1.117
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Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling
Vincenzo Russo, Rosella Giacometti and Frank J. Fabozzi

The Journal of Derivatives Winter 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104

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