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- Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for CryptoassetsYuan Hu, W. Brent Lindquist and Frank J. FabozziThe Journal of Alternative Investments April 2021, jai.2021.1.133; DOI: https://doi.org/10.3905/jai.2021.1.133
- Cover’s Rebalancing Option with Discrete Hindsight OptimizationAlex GarivaltisThe Journal of Derivatives April 2021, jod.2021.1.135; DOI: https://doi.org/10.3905/jod.2021.1.135
- Testing and Mapping an Empirical Exercise Boundary for the American Put OptionJoseph M. PimbleyThe Journal of Derivatives April 2021, jod.2021.1.134; DOI: https://doi.org/10.3905/jod.2021.1.134
- Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck ProcessPeter Carr and Andrey ItkinThe Journal of Derivatives April 2021, jod.2021.1.133; DOI: https://doi.org/10.3905/jod.2021.1.133
- Pricing and Hedging Options on Assets with Options on Related AssetsDilip B. Madan and King WangThe Journal of Derivatives April 2021, jod.2021.1.132; DOI: https://doi.org/10.3905/jod.2021.1.132
- Price Discovery in a New Futures Market: Micro E-Mini Index FuturesAthanasios P. FassasThe Journal of Derivatives April 2021, jod.2021.1.131; DOI: https://doi.org/10.3905/jod.2021.1.131
- Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial TreesTom P. DavisThe Journal of Derivatives April 2021, jod.2021.1.130; DOI: https://doi.org/10.3905/jod.2021.1.130
- An Arbitrage-Free Real-World Model for Fractional Option PricesHolger FinkThe Journal of Derivatives March 2021, jod.2021.1.128; DOI: https://doi.org/10.3905/jod.2021.1.128
- Portfolio Strategies for Volatility InvestingJim CampasanoThe Journal of Alternative Investments March 2021, jai.2021.1.130; DOI: https://doi.org/10.3905/jai.2021.1.130
- Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX AssetsSonnan Chen and Yuchi GuThe Journal of Derivatives February 2021, 28 (3) 60-96; DOI: https://doi.org/10.3905/jod.2020.1.124
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