Options
- Risk-Neutral Density Estimation: Looking at the TailsMartin ReinkeThe Journal of Derivatives February 2020, 27 (3) 99-125; DOI: https://doi.org/10.3905/jod.2019.1.090
- Physics and Derivatives: On Three Important Problems in Mathematical FinanceAlexander Lipton and Vadim KaushanskyThe Journal of Derivatives February 2020, jod.2020.1.098; DOI: https://doi.org/10.3905/jod.2020.1.098
- Factor Investing in Currency Markets: Does It Make Sense?Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali XuThe Journal of Portfolio Management December 2019, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
- Returns to Option Strategies Following Class Action LawsuitsDean Diavatopoulos, Andy Fodor and Kevin KriegerThe Journal of Investing November 2019, 29 (1) 119-131; DOI: https://doi.org/10.3905/joi.2019.1.109
- Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching ModelXin-Jiang He and Song-Ping ZhuThe Journal of Derivatives November 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
- The “Superior Performance” of Covered Calls on the S&P 500: Rethinking an AnomalyRobert Brooks, Don Chance and Michael HemlerThe Journal of Derivatives November 2019, 27 (2) 50-61; DOI: https://doi.org/10.3905/jod.2019.1.087
- Model Uncertainty and Pricing Performance in Option ValuationDennis Bams, Gildas Blanchard and Thorsten LehnertThe Journal of Derivatives November 2019, 27 (2) 31-49; DOI: https://doi.org/10.3905/jod.2019.1.086
- Fourier Method for Valuation of Options under Parameter and State UncertaintyErik LindströmThe Journal of Derivatives November 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085
- Geometric Local Variance Gamma ModelP. Carr and A. ItkinThe Journal of Derivatives November 2019, 27 (2) 7-30; DOI: https://doi.org/10.3905/jod.2019.1.084
- Option Informed Stock PickingEdward Szado, Hossein Kazemi and Thomas SchneeweisThe Journal of Alternative Investments June 2018, 21 (1) 48-66; DOI: https://doi.org/10.3905/jai.2018.1.063
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