Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Volume 4, Number 2 (Winter 2000)
Editor's Letter
Welcome to Volume 4, Issue 2 of The Journal of Computational Finance. This issue is made up of 5 technical papers: ‘Deriving derivatives of derivative securities; by Peter Carr from Bank of America Securities; ‘Time transformations, intraday data and volatility models' by Pierre Giot from Maastricht University; ‘A closed-form solution for perpetual American floating strike lookback options' by Min Dai from Peking University; ‘A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smiles?' by Yanmin Li from Imperial College, London; and ‘Brief communications: how to solve multi-asset Black-Scholes with time-dependent volatility and correlation' by L.P. Bos and A.F. Ware from the University of Calgary.
Papers in this issue
A closed-form solution for perpetual American floating strike lookback options
Time transformations, intraday data, and volatility models
How to solve multiasset Black-Scholes with time-dependent volatility and correlation
A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?
Deriving derivatives of derivative securities
