The Journal of Derivatives

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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
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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
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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
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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
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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
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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
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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
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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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