Options
- Risk Capacity Portfolio ConstructionMatthew W. SherwoodThe Journal of Investing January 2021, 30 (2) 31-52; DOI: https://doi.org/10.3905/joi.2020.1.163
- Optimal Currency Hedging: Horizon MattersNelson Arruda, Alain Bergeron and Mark KritzmanThe Journal of Alternative Investments March 2021, 23 (4) 122-130; DOI: https://doi.org/10.3905/jai.2021.1.126
- On the Valuation of Performance Fees and Their Impact on Asset Managers’ IncentivesWei Dai, Robert C. Merton and Savina RizovaThe Journal of Alternative Investments June 2021, 24 (1) 10-25; DOI: https://doi.org/10.3905/jai.2021.1.135
- Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for CryptoassetsYuan Hu, W. Brent Lindquist and Frank J. FabozziThe Journal of Alternative Investments June 2021, 24 (1) 75-93; DOI: https://doi.org/10.3905/jai.2021.1.133
- Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options?Steen Koekebakker and Valeriy ZakamulinThe Journal of Wealth Management July 2021, 24 (2) 65-81; DOI: https://doi.org/10.3905/jwm.2021.1.137
- Valuation of Callable/Putable Corporate Bonds in a One-Factor Lognormal Interest-Rate ModelRobert S. Goldberg, Ehud I. Ronn and Liying XuThe Journal of Fixed Income June 2021, 31 (1) 80-95; DOI: https://doi.org/10.3905/jfi.2021.1.111
- Bias Correction for Bond Option Greeks via JackknifeJinyu Zhang, Kang Gao and Yong LiThe Journal of Derivatives May 2021, 28 (4) 45-63; DOI: https://doi.org/10.3905/jod.2021.1.129
- An Arbitrage-Free Interpolation of Class C2 for Option PricesFabien Le Floc’hThe Journal of Derivatives May 2021, 28 (4) 64-86; DOI: https://doi.org/10.3905/jod.2020.1.119
- The Premium Reduction of European, American, and Perpetual Log Return OptionsStephen Taylor and Jan VecerThe Journal of Derivatives May 2021, 28 (4) 7-23; DOI: https://doi.org/10.3905/jod.2020.1.115
- Analytical Valuation of Compound Options under Regime-Switching DynamicsMichèle Breton and Mbaye NdoyeThe Journal of Derivatives November 2021, 29 (2) 120-148; DOI: https://doi.org/10.3905/jod.2021.1.139
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