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Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
15
Impact Factor
0.37
5 Years IF
0.38
Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.28 0.5 0 4 4 15 2 0 0 0 0 0.14
2000 0.25 0.33 0.06 0.25 12 16 84 1 3 4 1 4 1 0 0 0.15
2001 0 0.36 0 0 0 16 0 3 16 16 0 0 0.15
2002 0 0.39 0.09 0 6 22 34 5 12 16 0 0 0.21
2003 0 0.4 0.25 0.18 6 28 133 7 12 6 22 4 0 3 0.5 0.2
2004 1.08 0.45 0.54 0.57 7 35 82 19 31 12 13 28 16 0 2 0.29 0.2
2005 1.23 0.46 0.64 0.74 12 47 55 29 61 13 16 31 23 3 10.3 0 0.22
2006 0.26 0.46 0.39 0.42 9 56 38 21 83 19 5 31 13 3 14.3 0 0.21
2007 0.05 0.42 0.31 0.35 8 64 156 20 103 21 1 40 14 0 1 0.13 0.18
2008 0.24 0.44 0.38 0.43 9 73 17 28 131 17 4 42 18 4 14.3 0 0.21
2009 0.35 0.44 0.42 0.44 10 83 40 35 166 17 6 45 20 2 5.7 0 0.21
2010 0.16 0.43 0.29 0.19 12 95 52 28 194 19 3 48 9 3 10.7 0 0.18
2011 0.32 0.46 0.38 0.35 14 109 38 41 235 22 7 48 17 5 12.2 0 0.21
2012 0.42 0.47 0.36 0.45 10 119 22 43 278 26 11 53 24 0 0 0.19
2013 0.33 0.53 0.53 0.44 12 131 42 69 347 24 8 55 24 4 5.8 2 0.17 0.22
2014 0.59 0.55 0.57 0.45 12 143 28 81 428 22 13 58 26 6 7.4 0 0.22
2015 0.21 0.56 0.46 0.28 12 155 11 71 499 24 5 60 17 7 9.9 0 0.21
2016 0.58 0.58 0.66 0.57 9 164 5 107 607 24 14 60 34 6 5.6 0 0.2
2017 0.05 0.6 0.59 0.33 10 174 7 103 710 21 1 55 18 5 4.9 1 0.1 0.22
2018 0.37 0.76 0.46 0.38 12 186 2 85 795 19 7 55 21 7 8.2 1 0.08 0.31
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12007A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150.

Full description at Econpapers || Download paper

59
22007Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180.

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54
32000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262.

Full description at Econpapers || Download paper

53
42003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). Navas, Javier ; Moreno, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128.

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36
52004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). Stentoft, Lars. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168.

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36
62003The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Härdle, Wolfgang ; Fengler, Matthias ; Villa, Christophe ; Hardle, Wolfgang. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202.

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36
72003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Chiarella, Carl ; Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155.

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34
82010Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case. (2010). Itkin, Andrey ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176.

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29
92007Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85.

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26
102003Price Discovery, Causality and Forecasting in the Freight Futures Market. (2003). Kavussanos, Manolis ; Nomikos, Nikos . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230.

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23
112005An empirical comparison of GARCH option pricing models. (2005). Hsieh, K. ; Ritchken, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150.

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22
122011Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

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21
132004Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24.

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19
142006Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186.

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15
152002Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271.

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15
162009Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79.

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14
172004On the Information in the Interest Rate Term Structure and Option Prices. (2004). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:99-127.

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14
182000The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Skiadopoulos, George ; Clewlow, Les ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282.

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14
192002Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314.

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14
202007Discount curve construction with tension splines. (2007). Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267.

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12
212005The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets. (2005). Doran, James ; Ronn, Ehud . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:177-198.

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12
222013New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134.

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12
231999Stochastic duration and fast coupon bond option pricing in multi-factor models. (1999). Munk, Claus. In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:1999:i:2:p:157-181.

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11
242006Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35.

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11
252009Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27.

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10
26The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Menachof, David. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266.

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10
272009Microstructural biases in empirical tests of option pricing models. (2009). Mayhew, Stewart ; Dennis, Patrick . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191.

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9
282013The αVG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52.

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9
292014Pricing average options under time-changed Lévy processes. (2014). Yamazaki, Akira. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111.

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9
302014The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

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7
312004A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Cherian, Joseph A. ; Jacquier, Eric. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97.

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7
322011Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83.

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7
332012Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79.

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7
342013Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). Fassas, Athanasios ; SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266.

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6
352010Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, A. ; Scarlatti, S. ; Antonelli, F.. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:45-73.

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6
362006Static versus dynamic hedges: an empirical comparison for barrier options. (2006). Fengler, Matthias ; Engelmann, Bernd ; Schwendner, Peter ; Nalholm, Morten . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264.

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6
372000Tighter Option Bounds from Multiple Exercise Prices. (2000). Ryan, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:155-188.

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6
382012Liquidity and CDS premiums on European companies around the Subprime crisis. (2012). PETITJEAN, Mikael ; Majois, Christophe ; LESPLINGART, Clothilde . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:257-281.

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6
392010A fast Fourier transform technique for pricing American options under stochastic volatility. (2010). Zhylyevskyy, Oleksandr. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24.

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6
402014A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159.

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5
412007The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. (2007). Purnanandam, Amiyatosh ; Jarrow, Robert. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:39-58.

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5
422005A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation. (2005). Hobson, David ; Henderson, Vicky ; Kluge, Tino ; Howison, Sam . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:5-25.

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5
432008On improving the least squares Monte Carlo option valuation method. (2008). Rodrigues, Artur ; Areal, Nelson ; Armada, Manuel . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:119-151.

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5
442008Distressed debt prices and recovery rate estimation. (2008). Jarrow, Robert ; Lin, Haizhi ; Guo, Xin. In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204.

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5
452012A call on art investments. (2012). Kräussl, Roman ; Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23.

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5
462000Dynamic Volatility Trading Strategies in the Currency Option Market. (2000). Guo, Dajiang. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:2:p:133-154.

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5
472004Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing. (2004). Wilkens, Marco ; Baule, Rainer. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:53-72.

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4
482010The cost of operational risk loss insurance. (2010). Jarrow, Robert ; Oxman, Jeff ; Yildirim, Yildiray. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:273-295.

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4
492013Parametric modeling of implied smile functions: a generalized SVI model. (2013). Zhao, BO ; Hodges, Stewart . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77.

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4
502015Do CDS spreads move with commonality in liquidity?. (2015). Meine, Christian ; Weiss, Gregor ; Supper, Hendrik . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:3:p:225-261.

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4
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007A new approach for option pricing under stochastic volatility. (2007). Sun, Jian ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150.

Full description at Econpapers || Download paper

24
22000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andreasen, Jesper ; Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262.

Full description at Econpapers || Download paper

16
32003Price Discovery, Causality and Forecasting in the Freight Futures Market. (2003). Kavussanos, Manolis ; Nomikos, Nikos . In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:203-230.

Full description at Econpapers || Download paper

15
42007Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:151-180.

Full description at Econpapers || Download paper

10
52007Modelling jumps in electricity prices: theory and empirical evidence. (2007). Seifert, Jan ; Uhrig-Homburg, Marliese. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85.

Full description at Econpapers || Download paper

8
62010Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case. (2010). Itkin, Andrey ; Carr, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:2:p:141-176.

Full description at Econpapers || Download paper

7
72002Valuation of commodity derivatives in a new multi-factor model. (2002). Yan, Xuemin . In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:251-271.

Full description at Econpapers || Download paper

7
82011Corporate governance and hedge fund activism. (2011). Boyson, Nicole ; Mooradian, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

Full description at Econpapers || Download paper

7
92014Pricing average options under time-changed Lévy processes. (2014). Yamazaki, Akira. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:79-111.

Full description at Econpapers || Download paper

6
102010Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, A. ; Scarlatti, S. ; Antonelli, F.. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:45-73.

Full description at Econpapers || Download paper

6
112003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives. (2003). Navas, Javier ; Moreno, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:107-128.

Full description at Econpapers || Download paper

5
122003The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Härdle, Wolfgang ; Fengler, Matthias ; Villa, Christophe ; Hardle, Wolfgang. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202.

Full description at Econpapers || Download paper

5
132005The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Menachof, David. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2005:i:3:p:241-266.

Full description at Econpapers || Download paper

5
142002Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Vetzal, K. ; Zvan, R. ; Forsyth, P.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314.

Full description at Econpapers || Download paper

5
152009Option market making under inventory risk. (2009). Salam, Mehmet ; Stoikov, Sasha. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79.

Full description at Econpapers || Download paper

5
162006Calibration and hedging under jump diffusion. (2006). He, C. ; Li, Y. ; Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35.

Full description at Econpapers || Download paper

5
172003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Chiarella, Carl ; Kwon, Oh. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:2:p:129-155.

Full description at Econpapers || Download paper

5
182014The impact of quantitative easing on the US term structure of interest rates. (2014). Jarrow, Robert ; Li, Hao. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

Full description at Econpapers || Download paper

5
192013The αVG model for multivariate asset pricing: calibration and extension. (2013). Guillaume, Florence. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:25-52.

Full description at Econpapers || Download paper

5
202006Seasonal and stochastic effects in commodity forward curves. (2006). Geman, Helyette ; Borovkova, Svetlana . In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186.

Full description at Econpapers || Download paper

4
212012Liquidity and CDS premiums on European companies around the Subprime crisis. (2012). PETITJEAN, Mikael ; Majois, Christophe ; LESPLINGART, Clothilde . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:257-281.

Full description at Econpapers || Download paper

4
222012Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Guillaume, Florence ; Schoutens, Wim. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79.

Full description at Econpapers || Download paper

4
232004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation. (2004). Stentoft, Lars. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:129-168.

Full description at Econpapers || Download paper

4
242014A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159.

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4
252016Minimum return guarantees, investment caps, and investment flexibility. (2016). Mahayni, Antje ; Schneider, Judith C. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:2:d:10.1007_s11147-015-9116-5.

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3
262013Local volatility of volatility for the VIX market. (2013). Drimus, Gabriel ; Farkas, Walter . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:267-293.

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3
272013Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). Fassas, Athanasios ; SIRIOPOULOS, COSTAS. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266.

Full description at Econpapers || Download paper

3
282009Microstructural biases in empirical tests of option pricing models. (2009). Mayhew, Stewart ; Dennis, Patrick . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:3:p:169-191.

Full description at Econpapers || Download paper

3
292007Discount curve construction with tension splines. (2007). Andersen, Leif. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267.

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3
302004Theory of Storage and the Pricing of Commodity Claims. (2004). Schwartz, Eduardo S. ; Nielsen, Martin J.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24.

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312015Do CDS spreads move with commonality in liquidity?. (2015). Meine, Christian ; Weiss, Gregor ; Supper, Hendrik . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:3:p:225-261.

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322008On improving the least squares Monte Carlo option valuation method. (2008). Rodrigues, Artur ; Areal, Nelson ; Armada, Manuel . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:1:p:119-151.

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332015Commodity derivative valuation under a factor model with time-varying market prices of risk. (2015). Mirantes, Andres ; Poblacion, Javier ; Serna, Gregorio. In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:1:p:75-93.

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342009Quadratic hedging in affine stochastic volatility models. (2009). Kallsen, Jan ; Vierthauer, Richard . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27.

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352014Efficiently pricing double barrier derivatives in stochastic volatility models. (2014). Escobar Anel, Marcos ; Hieber, Peter ; Scherer, Matthias. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:191-216.

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362009A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Longarela, Iaki ; Bondarenko, Oleg. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107.

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372015Do correlated defaults matter for CDS premia? An empirical analysis. (2015). Koziol, Philipp ; Schon, Thomas . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:3:p:191-224.

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382007Determinants of S&P 500 index option returns. (2007). Huang, Jingzhi ; Cao, Charles. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:1-38.

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392016On exact pricing of FX options in multivariate time-changed Lévy models. (2016). Ano, Katsunori ; Ivanov, Roman V. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9120-4.

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402006Valuation of vulnerable American options with correlated credit risk. (2006). Chang, Lung-Fu ; Hung, Mao-Wei. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:137-165.

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412017Structural default model with mutual obligations. (2017). Itkin, Andrey ; Lipton, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9123-1.

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422005The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets. (2005). Doran, James ; Ronn, Ehud . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:177-198.

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432018The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6.

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442005A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation. (2005). Hobson, David ; Henderson, Vicky ; Kluge, Tino ; Howison, Sam . In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:5-25.

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452013New solvable stochastic volatility models for pricing volatility derivatives. (2013). Itkin, Andrey. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:111-134.

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462004A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Cherian, Joseph A. ; Jacquier, Eric. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97.

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472017On the multiplicity of option prices under CEV with positive elasticity of variance. (2017). Veestraeten, Dirk . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9122-2.

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Citing documents used to compute impact factor: 7
YearTitle
2018An analytical approximation for single barrier options under stochastic volatility models. (2018). Funahashi, Hideharu ; Higuchi, Tomohide. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2559-3.

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2018Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Villena, Marcelo ; Araneda, Axel A. In: Papers. RePEc:arx:papers:1803.10376.

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2018An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329.

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2018Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Reisinger, Christoph ; Kaushansky, Vadim ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1808.05311.

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2018Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2018On risk measuring in the variance-gamma model. (2018). Roman, Ivanov . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2.

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2018A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:58-:d:147258.

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Recent citations
Recent citations received in 2018

YearCiting document
2018Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110.

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YearCiting document
2017Asymptotics for Greeks under the constant elasticity of variance model. (2017). Zalmezh, Vladimir F ; Kritski, Oleg L. In: Papers. RePEc:arx:papers:1707.04149.

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