{"title":"A Leptokurtic Distribution Explains Volatility Skew and Smile","authors":"Quanshui Zhao","doi":"10.3905/jod.2024.1.211","DOIUrl":"https://doi.org/10.3905/jod.2024.1.211","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"5 6","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141797910","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019","authors":"M. Hemler, Zhuo Li, Thomas W. Miller","doi":"10.3905/jod.2024.1.209","DOIUrl":"https://doi.org/10.3905/jod.2024.1.209","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"11 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141815878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Exploiting the Gap Between Implied and Realized Volatility","authors":"Javdat Umarov, Eva Lütkebohmert, Roxana Halbleib","doi":"10.3905/jod.2024.1.202","DOIUrl":"https://doi.org/10.3905/jod.2024.1.202","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"226 10","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140233449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Inferring the Implied Volatility of SOFR-Based Swaptions","authors":"Meng‐Lan Yueh, Cho-Jui Wu","doi":"10.3905/jod.2024.1.201","DOIUrl":"https://doi.org/10.3905/jod.2024.1.201","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"62 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140250856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"SOFR Term Rates from Treasury Repo Pricing","authors":"Wujiang Lou","doi":"10.3905/jod.2022.1.153","DOIUrl":"https://doi.org/10.3905/jod.2022.1.153","url":null,"abstract":"","PeriodicalId":501089,"journal":{"name":"The Journal of Derivatives","volume":"47 1","pages":"83-97"},"PeriodicalIF":0.0,"publicationDate":"2022-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138495085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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