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The Journal of Derivatives

The Journal of Derivatives

Advanced Search

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Latest Articles

  • You have access
    On the Estimation of the SABR Model’s Beta Parameter: The Role of Hedging in Determining the Beta Parameter
    Mengfei Zhang and Frank J. Fabozzi
    The Journal of Derivatives Fall 2016, 24 (1) 48-57; DOI: https://doi.org/10.3905/jod.2016.24.1.048
  • You have access
    An Analytical Method for Multi-Asset Option Pricing Based on a Single-Factor Model
    Letian Ye
    The Journal of Derivatives Fall 2016, 24 (1) 7-16; DOI: https://doi.org/10.3905/jod.2016.24.1.007
  • You have access
    Mutual Funds, Price Pressure, and Index Options
    Thorsten Lehnert
    The Journal of Derivatives Fall 2016, 24 (1) 30-46; DOI: https://doi.org/10.3905/jod.2016.24.1.030
  • You have access
    Comonotonic Monte Carlo Simulation and Its Applications in Option Pricing and Quantification of Risk
    Alain Chateauneuf, Mina Mostoufi and David Vyncke
    The Journal of Derivatives Fall 2016, 24 (1) 18-28; DOI: https://doi.org/10.3905/jod.2016.24.1.018
  • You have access
    Option-Implied Volatility Measures and Stock Return Predictability
    Xi Fu, Y. Eser Arisoy, Mark B. Shackleton and Mehmet Umutlu
    The Journal of Derivatives Fall 2016, 24 (1) 58-78; DOI: https://doi.org/10.3905/jod.2016.24.1.058
  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Fall 2016, 24 (1) 1-2; DOI: https://doi.org/10.3905/jod.2016.24.1.001
  • Open Access
    Editor’s Letter
    Stephen Figlewski
    The Journal of Derivatives Summer 2016, 23 (4) 1-2; DOI: https://doi.org/10.3905/jod.2016.23.4.001
  • You have access
    An Option-Based Model for Valuing the Common Stock of Emerging-Growth Firms
    John D. Finnerty
    The Journal of Derivatives Summer 2016, 23 (4) 33-53; DOI: https://doi.org/10.3905/jod.2016.23.4.033
  • You have access
    Real Options in Practice: Valuing Connected Gas Fields in the North Sea
    Sweder van Wijnbergen and Lin Zhao
    The Journal of Derivatives Summer 2016, 23 (4) 54-73; DOI: https://doi.org/10.3905/jod.2016.23.4.054
  • You have access
    In-Out Parity Relations for American-Style Barrier Options
    João Pedro Ruas, João Pedro Vidal Nunes and José Carlos Dias
    The Journal of Derivatives Summer 2016, 23 (4) 20-32; DOI: https://doi.org/10.3905/jod.2016.23.4.020

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