Options
- Risk Metrics Evaluation for Variable Annuities with Various Guaranteed BenefitsBing Dong, Jindong Wang and Wei XuThe Journal of Derivatives November 2020, 28 (2) 59-79; DOI: https://doi.org/10.3905/jod.2020.1.109
- Information Content of Options Trading Prior to Dividend InitiationsQin Emma WangThe Journal of Derivatives November 2020, 28 (2) 104-123; DOI: https://doi.org/10.3905/jod.2020.1.106
- Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR ModelHaozhe Su and David P. NewtonThe Journal of Derivatives November 2020, 28 (2) 22-46; DOI: https://doi.org/10.3905/jod.2020.1.105
- Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates ModelingVincenzo Russo, Rosella Giacometti and Frank J. FabozziThe Journal of Derivatives November 2020, 28 (2) 88-103; DOI: https://doi.org/10.3905/jod.2020.1.104
- Pricing of Basket Options by Conditioning and Moment MatchingPing Wu and Hui LinThe Journal of Derivatives November 2020, 28 (2) 80-87; DOI: https://doi.org/10.3905/jod.2020.1.103
- Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting FunctionAbootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives November 2020, 28 (2) 47-58; DOI: https://doi.org/10.3905/jod.2020.1.102
- Editor’s LetterJoseph M. PimbleyThe Journal of Derivatives November 2020, 28 (2) 1-3; DOI: https://doi.org/10.3905/jod.2020.28.2.001
- The Better-of-Two Strategy for Active versus Passive Management: The Option Value of Active through TimeSteve Fox and P. Brett HammondThe Journal of Portfolio Management December 2021, jpm.2021.1.314; DOI: https://doi.org/10.3905/jpm.2021.1.314
- Volatility Targeting: The Bridge Between Options-Based and Traditional Defensive StrategiesRyan PoirierThe Journal of Portfolio Management April 2021, 47 (6) 156-173; DOI: https://doi.org/10.3905/jpm.2021.1.238
- Diversifying Diversification: Downside Risk Management with Portfolios of Insurance SecuritiesVineer Bhansali and Jeremie HoldomThe Journal of Portfolio Management April 2021, 47 (6) 101-113; DOI: https://doi.org/10.3905/jpm.2021.1.229
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