Options
- Another Look at the Ho–Lee Bond Option Pricing ModelYoung Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. FabozziThe Journal of Derivatives May 2018, 25 (4) 48-53; DOI: https://doi.org/10.3905/jod.2018.25.4.048
- An Empirical Examination of the Relation between the Option-Implied Volatility Smile and Heterogeneous BeliefsShu Feng, Xiaoling Pu and Yi ZhangThe Journal of Derivatives May 2018, 25 (4) 36-47; DOI: https://doi.org/10.3905/jod.2018.25.4.036
- Volatility Aversion in the Options Market Based on News SentimentMatthias W. UhlThe Journal of Derivatives May 2018, 25 (4) 24-35; DOI: https://doi.org/10.3905/jod.2018.25.4.024
- Alternatives to Alternative Assets: Assessing S&P 500 Index Option Strategies as Hedge Fund ReplacementsWei GeThe Journal of Alternative Investments March 2018, 20 (4) 69-80; DOI: https://doi.org/10.3905/jai.2018.20.4.069
- A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of VarianceRiccardo Rebonato and Chu Ming NgThe Journal of Derivatives February 2018, 25 (3) 55-80; DOI: https://doi.org/10.3905/jod.2018.1.063
- The Second Partial Derivative of Option Price with Respect to the Strike: A Historical ReminiscenceHeinz ZimmermannThe Journal of Derivatives February 2018, 25 (3) 81-87; DOI: https://doi.org/10.3905/jod.2018.25.3.081
- An Alternative Option to Portfolio RebalancingRoni Israelov and Harsha TummalaThe Journal of Derivatives February 2018, 25 (3) 7-32; DOI: https://doi.org/10.3905/jod.2018.25.3.007
- Out of the Money or Striking It Rich? Evidence on the Risk-Adjusted Return Performance of Options-Based Equity Funds versus the S&P 500 and Other Benchmark AlternativesBruce A. Costa, Keith Jakob and Scott J. NiblockThe Journal of Investing February 2018, 27 (1) 65-79; DOI: https://doi.org/10.3905/joi.2018.27.1.065
- Volatility Leadership Among Index OptionsStephen Figlewski and Anja FrommherzThe Journal of Derivatives November 2017, 25 (2) 43-60; DOI: https://doi.org/10.3905/jod.2017.25.2.043
- Sector Option Implied Volatility Dynamics and PredictabilityJoseph M. Marks and David P. SimonThe Journal of Derivatives November 2017, 25 (2) 22-42; DOI: https://doi.org/10.3905/jod.2017.25.2.022
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