Citation analysis for Review of Derivatives Research / Springer

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.26

5 Years IF

0.3

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	0.09	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	0.09	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.12	0	0	0	0	0		0	0		0			0		0	0.06
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	0.27	0.5	0	4	4	20		2	0		0			0		0	0.13
2000	0.25	0.32	0.06	0.25	12	16	100	1	3	4	1	4	1		0		0	0.14
2001	0	0.35	0	0	0	16	0		3	16		16			0		0	0.15
2002	0	0.37	0.05	0	6	22	39		4	12		16			0		0	0.19
2003	0	0.4	0.25	0.18	6	28	151	7	11	6		22	4		0	3	0.5	0.19
2004	1.17	0.44	0.57	0.61	7	35	91	20	31	12	14	28	17		0	2	0.29	0.2
2005	1.23	0.45	0.66	0.74	12	47	70	30	62	13	16	31	23	3	10		0	0.21
2006	0.26	0.46	0.41	0.45	9	56	57	22	85	19	5	31	14	3	13.6		0	0.2
2007	0	0.42	0.31	0.35	8	64	184	20	105	21		40	14		0	1	0.13	0.18
2008	0.24	0.44	0.38	0.43	9	73	21	28	133	17	4	42	18	4	14.3		0	0.2
2009	0.35	0.43	0.4	0.44	10	83	55	33	166	17	6	45	20	2	6.1		0	0.21
2010	0.21	0.43	0.32	0.21	12	95	71	30	196	19	4	48	10	3	10		0	0.18
2011	0.32	0.45	0.37	0.35	14	109	59	40	236	22	7	48	17	5	12.5		0	0.2
2012	0.42	0.45	0.36	0.45	10	119	29	43	279	26	11	53	24		0		0	0.19
2013	0.33	0.5	0.54	0.44	12	131	61	71	350	24	8	55	24	4	5.6	2	0.17	0.21
2014	0.59	0.51	0.58	0.45	12	143	46	83	433	22	13	58	26	6	7.2		0	0.2
2015	0.21	0.5	0.46	0.28	12	155	14	72	505	24	5	60	17	7	9.7		0	0.19
2016	0.67	0.5	0.73	0.67	9	164	15	119	625	24	16	60	40	6	5		0	0.18
2017	0.05	0.5	0.61	0.36	10	174	18	107	732	21	1	55	20	5	4.7	1	0.1	0.18
2018	0.32	0.54	0.46	0.35	12	186	13	86	818	19	6	55	19	7	8.1	1	0.08	0.21
2019	0.18	0.58	0.47	0.35	11	197	4	93	911	22	4	55	19	1	1.1	1	0.09	0.21
2020	0.26	0.75	0.57	0.3	12	209	3	120	1031	23	6	54	16	5	4.2		0	0.29

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

#	Year	Title	Cited
1	2007	A 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	69
2	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃÆÃÂ© ; 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	64
3	2000	Jump-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	60
4	2004	Assessing 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	43
5	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃÆÃÂ¤rdle, 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	40
6	2003	On 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	39
7	2003	Finite 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	36
8	2011	Corporate 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	33
9	2005	An 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	32
10	2007	Modelling 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	32
11	2003	Price 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	31
12	2010	Pricing swaps and options on quadratic variation under stochastic time change modelsÃ¢â¬âdiscrete 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	30
13	2009	Option 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	21
14	2004	Theory 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. Full description at Econpapers \|\| Download paper	20
15	2006	Seasonal 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	18
16	2002	Valuation 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	18
17	2000	The 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. Full description at Econpapers \|\| Download paper	17
18	2006	Calibration 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	15
19	2009	Microstructural 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	15
20	2013	New 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. Full description at Econpapers \|\| Download paper	15
21	2002	Convergence 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	15
22	2010	Exchange 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	14
23	2004	On 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. Full description at Econpapers \|\| Download paper	14
24	2005	The 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. Full description at Econpapers \|\| Download paper	14
25	1999	Stochastic 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. Full description at Econpapers \|\| Download paper	13
26	2007	Discount 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. Full description at Econpapers \|\| Download paper	13
27	2013	Dynamic 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	11
28	2013	The ÃÂ±VG 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	11
29	2006	Static 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. Full description at Econpapers \|\| Download paper	10
30	2010	A 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	10
31	2014	The 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	10
32		The 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	10
33	2014	Pricing average options under time-changed LÃÂ©vy 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	10
34	2009	Quadratic 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. Full description at Econpapers \|\| Download paper	10
35	2014	A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, GonÃÆÃÂ§alo ; Correia-da-Silva, Joao ; JoÃÂ£o Correia-da-Silva, ; JoÃÂ£o 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	9
36	2011	Foreign currency bubbles. (2011). Jarrow, Robert ; Protter, Philip. In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:1:p:67-83. Full description at Econpapers \|\| Download paper	8
37	2000	Dynamic 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. Full description at Econpapers \|\| Download paper	8
38	2006	Price 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	8
39	2012	Calibration 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	8
40	2004	A 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. Full description at Econpapers \|\| Download paper	7
41	2008	On 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. Full description at Econpapers \|\| Download paper	7
42	2008	Distressed 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. Full description at Econpapers \|\| Download paper	7
43	2012	Liquidity 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	7
44	2013	Parametric 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	6
45	2016	Credit 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	6
46	2005	A Continuous Time Model to Price Commodity-Based Swing Options. (2005). Dahlgren, M.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:27-47. Full description at Econpapers \|\| Download paper	6
47	2014	Options 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. Full description at Econpapers \|\| Download paper	6
48	2007	The valuation of a firmÃ¢â¬â¢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. Full description at Econpapers \|\| Download paper	6
49	2000	Tighter 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. Full description at Econpapers \|\| Download paper	6
50	2012	A call on art investments. (2012). KrÃÆÃÂ¤ussl, Roman ; Wiehenkamp, Christian . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:1-23. Full description at Econpapers \|\| Download paper	5

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2011	Corporate 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
2	2007	A 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	13
3	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃÆÃÂ© ; 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	13
4	2009	Option 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
5	2003	Price 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	12
6	2005	An 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
7	2004	Assessing 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	10
8	2000	Jump-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	8
9	2007	Modelling 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	7
10	2010	Exchange 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	7
11	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃÆÃÂ¤rdle, 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	6
12	2016	Credit 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	6
13	2006	Price 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
14	2014	A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, GonÃÆÃÂ§alo ; Correia-da-Silva, Joao ; JoÃÂ£o Correia-da-Silva, ; JoÃÂ£o 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
15	2003	On 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
16	2014	The 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
17	2006	Calibration 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
18	2010	A 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
19	2000	The 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. Full description at Econpapers \|\| Download paper	4
20	2016	Minimum 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. Full description at Econpapers \|\| Download paper	4
21	2011	The 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. Full description at Econpapers \|\| Download paper	4
22	2003	Finite 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	4
23	2013	Dynamic 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
24	2017	Structural 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. Full description at Econpapers \|\| Download paper	4
25	2005	A Continuous Time Model to Price Commodity-Based Swing Options. (2005). Dahlgren, M.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:1:p:27-47. Full description at Econpapers \|\| Download paper	4
26	2010	Pricing swaps and options on quadratic variation under stochastic time change modelsÃ¢â¬âdiscrete 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	3
27	2017	A 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. Full description at Econpapers \|\| Download paper	3
28	2009	Microstructural 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
29	2002	Valuation 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	3
30	2002	Convergence 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	3
31	2013	The 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. Full description at Econpapers \|\| Download paper	3
32	2008	Distressed 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. Full description at Econpapers \|\| Download paper	3
33	2006	Static 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. Full description at Econpapers \|\| Download paper	3
34	2013	New 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. Full description at Econpapers \|\| Download paper	3
35	2018	A 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. Full description at Econpapers \|\| Download paper	3
36	2018	The 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. Full description at Econpapers \|\| Download paper	3
37	2013	Parametric 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	3
38	2014	Pricing average options under time-changed LÃÂ©vy 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	3
39	2008	On 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. Full description at Econpapers \|\| Download paper	3
40	1999	Options 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. Full description at Econpapers \|\| Download paper	3
41	2013	Local 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. Full description at Econpapers \|\| Download paper	3
42	2000	Dynamic 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. Full description at Econpapers \|\| Download paper	3
43	2014	Options 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. Full description at Econpapers \|\| Download paper	2
44	2014	Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). GÃÆÃÂ¼ndÃÆÃÂ¼z, Yalin ; Uhrig-Homburg, Marliese ; Gunduz, Yalin. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78. Full description at Econpapers \|\| Download paper	2
45	1999	Stochastic 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. Full description at Econpapers \|\| Download paper	2
46	2017	Rainbow trend options: valuation and applications. (2017). Wang, Jr-Yan ; Hung, Mao-Wei ; Ko, Yi-Chen . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9125-z. Full description at Econpapers \|\| Download paper	2
47	2010	Pricing distressed CDOs with stochastic recovery. (2010). Zagst, Rudi ; Hocht, Stephan ; STEPHAN HÃCHT, . In: Review of Derivatives Research. RePEc:kap:revdev:v:13:y:2010:i:3:p:219-244. Full description at Econpapers \|\| Download paper	2
48	2014	Efficiently 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. Full description at Econpapers \|\| Download paper	2
49	2020	A 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. Full description at Econpapers \|\| Download paper	2
50	2012	The value of tradeability. (2012). Kempf, Alexander ; Chesney, Marc. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:3:p:193-216. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 6

Year	Title
2020	Time consistent pricing of options with embedded decisions. (2020). Gerer, J ; Dorfleitner, G. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09158-9. Full description at Econpapers \|\| Download paper
2020	Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719. Full description at Econpapers \|\| Download paper
2020	Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under ChinaÃ¢â¬â¢s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384. Full description at Econpapers \|\| Download paper
2020	Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776. Full description at Econpapers \|\| Download paper
2020	Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618. Full description at Econpapers \|\| Download paper
2020	Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:841-859. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document

Recent citations received in 2019

Year	Citing document
2019	Modeling Latent Carbon Emission Prices for Japan: Theory and Practice. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:21:p:4222-:d:283913. Full description at Econpapers \|\| Download paper

Recent citations received in 2018

Year	Citing document
2018	Model Averaging and its Use in Economics. (2018). Steel, Mark. In: MPRA Paper. RePEc:pra:mprapa:90110. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Asymptotics for Greeks under the constant elasticity of variance model. (2017). Zalmezh, Vladimir F ; Kritski, Oleg L. In: Papers. RePEc:arx:papers:1707.04149. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	109
2	Review of Derivatives Research / Springer	17	31
3	European Journal of Operational Research / Elsevier	108	24
4	Journal of Banking & Finance / Elsevier	148	22
5	Journal of Futures Markets / John Wiley & Sons, Ltd.	38	21
6	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	18	18
7	Quantitative Finance / Taylor & Francis Journals	50	14
8	International Journal of Financial Engineering (IJFE) / World Scientific Publishing Co. Pte. Ltd.	7	12
9	The North American Journal of Economics and Finance / Elsevier	36	11
10	Insurance: Mathematics and Economics / Elsevier	48	11
11	Computational Economics / Springer	27	11