College of Business: University of Illinois at Urbana-Champaign

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Journal of Derivatives

Widdicks, M. , Taylor, S., Tzeng, C. Forthcoming. Bankruptcy probabilities inferred from option prices. Journal of Derivatives

Choi, J. 2008. Credit Risk with Lagged Information. Journal of Derivatives

Widdicks, M. , Duck, P., Newton, D., Leung, Y. 2005. Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives, 12: 34 - 44

Widdicks, M. , Andricopoulos, A., Duck, P., Newton, D. 2004. Curtailing the range for lattice and grid methods. Journal of Derivatives, 11: 55 - 61

Pearson, N. 1995. An Efficient Approach for Pricing Spread Options. Journal of Derivatives, 3: 76-91

UIUC College of Business