Options
- Valuation of Callable/Putable Corporate Bonds in a One-Factor Lognormal Interest-Rate ModelRobert S. Goldberg, Ehud I. Ronn and Liying XuThe Journal of Fixed Income June 2021, 31 (1) 80-95; DOI: https://doi.org/10.3905/jfi.2021.1.111
- Bias Correction for Bond Option Greeks via JackknifeJinyu Zhang, Kang Gao and Yong LiThe Journal of Derivatives May 2021, 28 (4) 45-63; DOI: https://doi.org/10.3905/jod.2021.1.129
- An Arbitrage-Free Interpolation of Class C2 for Option PricesFabien Le Floc’hThe Journal of Derivatives May 2021, 28 (4) 64-86; DOI: https://doi.org/10.3905/jod.2020.1.119
- The Premium Reduction of European, American, and Perpetual Log Return OptionsStephen Taylor and Jan VecerThe Journal of Derivatives May 2021, 28 (4) 7-23; DOI: https://doi.org/10.3905/jod.2020.1.115
- Analytical Valuation of Compound Options under Regime-Switching DynamicsMichèle Breton and Mbaye NdoyeThe Journal of Derivatives November 2021, 29 (2) 120-148; DOI: https://doi.org/10.3905/jod.2021.1.139
- Option Pricing with Greed and Fear Factor: The Rational Finance ApproachAbootaleb Shirvani, Frank J. Fabozzi, Boryana Racheva-Iotova and Svetlozar T. RachevThe Journal of Derivatives November 2021, 29 (2) 77-119; DOI: https://doi.org/10.3905/jod.2021.1.138
- A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral DensityZhenyu Cui and Zixiao YuThe Journal of Derivatives November 2021, 29 (2) 149-171; DOI: https://doi.org/10.3905/jod.2021.1.137
- Pricing of Adverse Development Covers Using Option Pricing MethodsEric Dal MoroThe Journal of Derivatives November 2021, 29 (2) 61-76; DOI: https://doi.org/10.3905/jod.2021.1.136
- Cover’s Rebalancing Option with Discrete Hindsight OptimizationAlex GarivaltisThe Journal of Derivatives November 2021, 29 (2) 8-29; DOI: https://doi.org/10.3905/jod.2021.1.135
- Editor’s LetterJoseph M. PimbleyThe Journal of Derivatives November 2021, 29 (2) 1-3; DOI: https://doi.org/10.3905/jod.2021.29.2.001
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