Volume 26, Issue 1 | Review of Derivatives Research

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Volume 26, Issue 1

April 2023

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4 articles in this issue

Interest rate swaps: a comparison of compounded daily versus discrete reference rates
Robert Jarrow
Siguang Li
OriginalPaper 26 September 2022 Pages: 1 - 21
Pricing vulnerable basket spread options with liquidity risk
Ziming Dong
Dan Tang
Xingchun Wang
OriginalPaper 17 October 2022 Pages: 23 - 50
Continuity correction: on the pricing of discrete double barrier options
Sheng-Feng Luo
Hsin-Chieh Wong
OriginalPaper Open access 24 November 2022 Pages: 51 - 90
Hedging cryptocurrency options
Jovanka Lili Matic
Natalie Packham
Wolfgang Karl Härdle
OriginalPaper Open access 10 February 2023 Pages: 91 - 133