Review of Derivatives Research

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation
pp. 5-25(21)
Authors: Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino

A Continuous Time Model to Price Commodity-Based Swing Options
pp. 27-47(21)
Author: Dahlgren, M.

Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis
pp. 49-60(12)
Authors: Estrada, Mariano; Cortina, Elsa; FontÁn, Constantino; Fiori, Javier