Options
- Model-Based versus Model-Free Implied Volatility: Evidence from North American, European, and Asian Index Option MarketsErnest N. Biktimirov and Chunrong WangThe Journal of Derivatives February 2017, 24 (3) 42-68; DOI: https://doi.org/10.3905/jod.2017.24.3.042
- Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure ModelsGrégoire Leblon and Franck MorauxThe Journal of Derivatives February 2017, 24 (3) 29-41; DOI: https://doi.org/10.3905/jod.2017.24.3.029
- Embracing Downside RiskRoni Israelov, Lars N. Nielsen and Daniel VillalonThe Journal of Alternative Investments December 2016, 19 (3) 59-67; DOI: https://doi.org/10.3905/jai.2017.19.3.059
- A Structural Model for Optimal Selection of Maturity and Timing of Callable Bond IssuanceShengguang Qian, S. Lakshmivarahan and Duane StockThe Journal of Fixed Income December 2016, 26 (3) 33-48; DOI: https://doi.org/10.3905/jfi.2017.26.3.033
- Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options MarketsPeter Christoffersen, Kris Jacobs and Bingxin LiThe Journal of Derivatives November 2016, 24 (2) 8-30; DOI: https://doi.org/10.3905/jod.2016.24.2.008
- Valuations of Mortality-Linked Structured ProductsMeng-Lan Yueh, Hsin-Yu Chiu and Shou-Hsun TsaiThe Journal of Derivatives November 2016, 24 (2) 66-87; DOI: https://doi.org/10.3905/jod.2016.24.2.066
- What Goes into Risk-Neutral Volatility? Empirical
Estimates of Risk and Subjective Risk PreferencesStephen FiglewskiThe Journal of Portfolio Management October 2016, 43 (1) 29-42; DOI: https://doi.org/10.3905/jpm.2016.43.1.029 - Implied Remaining Variance with Application to Bachelier ModelJian Sun, Qiankun Niu, Shinan Cao and Peter CarrThe Journal of Fixed Income September 2016, 26 (2) 78-95; DOI: https://doi.org/10.3905/jfi.2016.26.2.078
- Overlooked Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted SpreadsAlexander N. Bogin, Nataliya Polkovnichenko and William M. DoernerThe Journal of Fixed Income September 2016, 26 (2) 5-15; DOI: https://doi.org/10.3905/jfi.2016.26.2.005
- An Analytical Method for Multi-Asset Option Pricing Based on a Single-Factor ModelLetian YeThe Journal of Derivatives August 2016, 24 (1) 7-16; DOI: https://doi.org/10.3905/jod.2016.24.1.007
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