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Citation Profile [Updated: 2022-10-03 11:31:34]
5 Years H
19
Impact Factor
0.35
5 Years IF
0.48
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 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1992 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1994 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1995 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1996 0 0.25 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.24 0 0 0 0 0 0 0 0 0 0 0.11
1998 0 0.28 0 0 0 0 0 0 0 0 0 0 0.13
1999 0 0.3 0.5 0 4 4 25 2 0 0 0 0 0.15
2000 0.25 0.35 0.06 0.25 12 16 141 1 3 4 1 4 1 0 0 0.17
2001 0 0.38 0 0 0 16 0 3 16 16 0 0 0.17
2002 0 0.41 0.23 0 6 22 58 4 8 12 16 0 4 0.67 0.21
2003 0 0.44 0.36 0.32 6 28 165 10 18 6 22 7 0 3 0.5 0.22
2004 1.33 0.49 0.66 0.68 7 35 126 23 41 12 16 28 19 0 2 0.29 0.22
2005 1.31 0.5 0.7 0.81 12 47 81 32 74 13 17 31 25 4 12.5 0 0.23
2006 0.26 0.5 0.45 0.48 9 56 71 24 99 19 5 31 15 4 16.7 0 0.23
2007 0 0.46 0.44 0.5 8 64 202 28 127 21 40 20 0 1 0.13 0.2
2008 0.24 0.49 0.51 0.52 9 73 25 37 164 17 4 42 22 5 13.5 0 0.23
2009 0.35 0.47 0.51 0.53 10 83 62 42 206 17 6 45 24 3 7.1 0 0.24
2010 0.21 0.48 0.44 0.27 12 95 78 42 248 19 4 48 13 4 9.5 0 0.21
2011 0.36 0.51 0.46 0.38 14 109 68 50 298 22 8 48 18 7 14 0 0.24
2012 0.42 0.51 0.43 0.47 10 119 37 51 349 26 11 53 25 0 0 0.22
2013 0.33 0.56 0.61 0.45 12 131 73 80 429 24 8 55 25 4 5 2 0.17 0.24
2014 0.59 0.55 0.61 0.45 12 143 55 87 516 22 13 58 26 6 6.9 0 0.23
2015 0.33 0.55 0.54 0.35 12 155 16 84 600 24 8 60 21 7 8.3 0 0.23
2016 0.71 0.53 0.78 0.73 9 164 17 127 728 24 17 60 44 6 4.7 0 0.21
2017 0.05 0.54 0.65 0.36 10 174 19 113 841 21 1 55 20 5 4.4 1 0.1 0.21
2018 0.37 0.57 0.48 0.36 12 186 21 90 931 19 7 55 20 7 7.8 1 0.08 0.24
2019 0.18 0.6 0.53 0.36 11 197 8 104 1035 22 4 55 20 1 1 1 0.09 0.24
2020 0.26 0.74 0.64 0.3 12 209 6 133 1168 23 6 54 16 6 4.5 0 0.34
2021 0.35 1.05 0.53 0.48 12 221 5 118 1286 23 8 54 26 8 6.8 0 0.39
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
12000Jump-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

86
22007A 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

76
32007Option 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

69
42004Assessing 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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66
52003The 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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45
62003On 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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42
72011Corporate 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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38
82003Finite 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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38
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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36
102005An 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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35
112003Price 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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34
122010Pricing 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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31
132009Option 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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25
142004Theory 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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22
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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21
162006Seasonal 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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20
172000The 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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20
182006Calibration 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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20
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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20
202013The 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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18
212010Exchange 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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18
222009Microstructural 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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16
232013New 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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16
242005The 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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15
252014Pricing 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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15
262004On 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
271999Stochastic 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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14
282002Banks option to lend, interest rate sensitivity, and credit availability. (2002). HASAN, IFTEKHAR ; Sarkar, Sudipto. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:213-250.

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13
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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13
30The 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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13
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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12
322006Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Wu, Liuren ; Holowczak, Richard ; Simaan, Yusif. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65.

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12
332014The 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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11
342006Static 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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11
352013Dynamic 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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11
362000Dynamic 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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10
372010A 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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10
382014A 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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10
392012Calibration 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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10
402009Quadratic 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
412000Tighter 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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9
422004Lean 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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8
432016Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. (2016). Kao, Lie-Jane . In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:1:d:10.1007_s11147-015-9114-7.

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8
442011Foreign 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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8
452013Parametric 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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8
462008On 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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7
472008Distressed 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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7
482011Modelling default contagion using multivariate phase-type distributions. (2011). Herbertsson, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:1-36.

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7
492014Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (2014). Chan, Ron ; Hubbert, Simon . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:161-189.

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7
502006Valuation 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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7
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007Option 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

15
22007A 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

14
32011Corporate 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

14
42004Assessing 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

13
52009Option 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

12
62005An 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.

Full description at Econpapers || Download paper

10
72000Jump-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

10
82010Exchange 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

9
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.

Full description at Econpapers || Download paper

9
102013The 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

6
112006Calibration 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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5
122018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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5
132018The pricing kernel puzzle in forward looking data. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9140-8.

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5
142016Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. (2016). Kao, Lie-Jane . In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:1:d:10.1007_s11147-015-9114-7.

Full description at Econpapers || Download paper

5
152003The 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
162014A 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.

Full description at Econpapers || Download paper

5
172006Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Wu, Liuren ; Holowczak, Richard ; Simaan, Yusif. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65.

Full description at Econpapers || Download paper

5
182013Parametric 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.

Full description at Econpapers || Download paper

4
191999Options on the minimum or the maximum of two average prices. (1999). Wu, Xueping ; Zhang, Jin. In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:1999:i:2:p:183-204.

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4
202014The 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

4
212003On 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

4
222006Seasonal 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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4
232017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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4
242003Price 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

4
252010A 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.

Full description at Econpapers || Download paper

4
262002Valuation 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

4
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

4
282000The 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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4
292013The performance of model based option trading strategies. (2013). Eraker, Bjorn . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:1-23.

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302002Convergence 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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312017Structural 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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322000Dynamic 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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332006Valuation 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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342012Joint econometric modeling of spot electricity prices, forwards and options. (2012). Monfort, Alain ; Feron, Olivier. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:217-256.

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352013Local 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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362021Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes. (2021). Wang, Xingchun ; Liang, Gechun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:1:d:10.1007_s11147-020-09167-z.

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37Option-implied information: What’s the vol surface got to do with it?. (). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v::y::i::d:10.1007_s11147-020-09166-0.

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382012Option pricing and hedging under a stochastic volatility Lévy process model. (2012). Fabozzi, Frank ; Lin, Zuodong ; Kim, Young ; Rachev, Svetlozar. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:81-97.

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392018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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402019Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-9151-0.

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412010Analytical approximations for the critical stock prices of American options: a performance comparison. (2010). Li, Minqiang. In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:1:p:75-99.

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422011The role of hedge funds as primary lenders. (2011). Meneghetti, Costanza ; Agarwal, Vikas. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:241-261.

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432006Static 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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442014Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). Gündüz, Yalin ; Uhrig-Homburg, Marliese ; Gunduz, Yalin. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78.

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452020A note on options and bubbles under the CEV model: implications for pricing and hedging. (2020). Cruz, Aricson ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09164-x.

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462008On 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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472000Interest rate option pricing with volatility humps. (2000). Chuang, Iyuan ; Ritchken, Peter . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262.

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482020Option-implied information: What’s the vol surface got to do with it?. (2020). Walther, Simon ; Ulrich, Maxim. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-020-09166-0.

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492018Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. (2018). Gerer, Johannes ; Dorfleitner, Gregor. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9137-3.

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502005The 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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Citing documents used to compute impact factor: 8
YearTitle
2021The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457.

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2021Idiosyncratic volatility, option-based measures of informed trading, and investor attention. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09175-7.

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2021Diversification with options and structured products. (2021). Rieger, Marc Oliver ; Yuan, Shuonan. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:1:d:10.1007_s11147-020-09169-x.

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2021Quanto Pricing beyond Black–Scholes. (2021). Mittnik, Stefan ; Fink, Holger. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:136-:d:522549.

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2021Mean-variance hedging in the presence of estimation risk. (2021). Chiu, Wan-Yi. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09176-6.

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2021Designing volatility indices for Austria, Finland and Spain. (2021). Muzzioli, Silvia ; Campisi, Giovanni. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00381-9.

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2021Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. (2021). Salterini, Benedetta ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2106.13888.

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2021.

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

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