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- Forecasting Option Prices Using Discrete-Time Volatility Models Estimated at Mixed TimescalesGiovanni Calice, Jing Chen and Julian WilliamsThe Journal of Derivatives February 2020, 27 (3) 45-74; DOI: https://doi.org/10.3905/jod.2019.1.094
- Parameterized Calendar Correlations: Decoding Oil and BeyondRoza Galeeva and Thomas HaversangThe Journal of Derivatives February 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives February 2020, 27 (3) 75-98; DOI: https://doi.org/10.3905/jod.2019.1.092
- What Does Today’s Smile Imply About Future Volatilities?Riccardo RebonatoThe Journal of Derivatives February 2020, 27 (3) 26-44; DOI: https://doi.org/10.3905/jod.2019.1.091
- 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
- Method in the Madness: Bubbles, Trading, and IncentivesJamil Baz, Josh Davis, Cristian Fuenzalida and Jerry TsaiThe Journal of Portfolio Management August 2020, 46 (8) 27-33; DOI: https://doi.org/10.3905/jpm.2020.1.168
- Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR ModelsPeter Carr, Andrey Itkin and Dmitry MuraveyThe Journal of Derivatives August 2020, 28 (1) 26-50; DOI: https://doi.org/10.3905/jod.2020.1.113
- Quantum Option Pricing and Quantum FinanceSergio Focardi, Frank J. Fabozzi and Davide MazzaThe Journal of Derivatives August 2020, 28 (1) 79-98; DOI: https://doi.org/10.3905/jod.2020.1.111
- Model-Free Backward and Forward Nonlinear PDEs for Implied VolatilityPeter Carr, Andrey Itkin and Sasha StoikovThe Journal of Derivatives August 2020, 28 (1) 51-78; DOI: https://doi.org/10.3905/jod.2020.1.110
- QLBS: Q-Learner in the Black-Scholes(-Merton) WorldsIgor HalperinThe Journal of Derivatives August 2020, 28 (1) 99-122; DOI: https://doi.org/10.3905/jod.2020.1.108
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