The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 64, doi. 10.3905/jod.2024.1.208
- By:
- Publication type:
- Article
Works matching IS 10741240 AND DT 2024 AND VI 32 AND IP 1
Results: 7
1
2
Pricing on Trees Using New Risk-Free Rates.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 139, doi. 10.3905/jod.2024.1.214
- By:
- Publication type:
- Article
3
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 110, doi. 10.3905/jod.2024.1.212
- By:
- Publication type:
- Article
4
A Leptokurtic Distribution Explains Volatility Skew and Smile.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 81, doi. 10.3905/jod.2024.1.211
- By:
- Publication type:
- Article
5
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 32, doi. 10.3905/jod.2024.1.209
- By:
- Publication type:
- Article
6
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 11, doi. 10.3905/jod.2024.1.206
- By:
- Publication type:
- Article
7
Editor's Letter.
- Published in:
- Journal of Derivatives, 2024, v. 32, n. 1, p. 1, doi. 10.3905/jod.2024.32.1.001
- By:
- Publication type:
- Article