Volume 24, Issue 1 | Review of Derivatives Research

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Volume 24, Issue 1

April 2021

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4 articles in this issue

Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes
Gechun Liang
Xingchun Wang
OriginalPaper 10 June 2020 Pages: 1 - 30
Bermudan option in Singapore Savings Bonds
Kian Guan Lim
OriginalPaper 19 July 2020 Pages: 31 - 54
Diversification with options and structured products
Shuonan Yuan
Marc Oliver Rieger
OriginalPaper 23 July 2020 Pages: 55 - 77
Uncertain strike lookback options pricing with floating interest rate
Lidong Zhang
Yanmei Sun
Xiangbo Meng
OriginalPaper 13 August 2020 Pages: 79 - 94