Review of Derivatives Research / Springer
Citation Profile [Updated: 2024-06-03 11:54:30]
5 Years H Index
20
Impact Factor (IF)
0.17
5 Years IF
0.27
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
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1999 | 0 | 0.31 | 0.5 | 0 | 4 | 4 | 27 | 2 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2000 | 0.25 | 0.36 | 0.06 | 0.25 | 12 | 16 | 165 | 1 | 3 | 4 | 1 | 4 | 1 | 0 | 0 | 0.16 | ||
| 2002 | 0 | 0.41 | 0.23 | 0 | 6 | 22 | 60 | 4 | 8 | 12 | 16 | 0 | 4 | 0.67 | 0.21 | |||
| 2003 | 0 | 0.44 | 0.39 | 0.36 | 6 | 28 | 176 | 11 | 19 | 6 | 22 | 8 | 0 | 3 | 0.5 | 0.22 | ||
| 2004 | 1.33 | 0.5 | 0.69 | 0.68 | 7 | 35 | 137 | 24 | 43 | 12 | 16 | 28 | 19 | 0 | 3 | 0.43 | 0.22 | |
| 2005 | 1.31 | 0.51 | 0.74 | 0.87 | 12 | 47 | 82 | 34 | 78 | 13 | 17 | 31 | 27 | 4 | 11.8 | 0 | 0.23 | |
| 2006 | 0.26 | 0.51 | 0.45 | 0.48 | 9 | 56 | 77 | 24 | 103 | 19 | 5 | 31 | 15 | 4 | 16.7 | 0 | 0.23 | |
| 2007 | 0 | 0.47 | 0.47 | 0.53 | 8 | 64 | 215 | 30 | 133 | 21 | 40 | 21 | 0 | 1 | 0.13 | 0.2 | ||
| 2008 | 0.24 | 0.49 | 0.52 | 0.55 | 9 | 73 | 28 | 38 | 171 | 17 | 4 | 42 | 23 | 5 | 13.2 | 0 | 0.23 | |
| 2009 | 0.35 | 0.48 | 0.52 | 0.53 | 10 | 83 | 67 | 43 | 214 | 17 | 6 | 45 | 24 | 3 | 7 | 0 | 0.24 | |
| 2010 | 0.21 | 0.49 | 0.45 | 0.27 | 12 | 95 | 87 | 43 | 257 | 19 | 4 | 48 | 13 | 4 | 9.3 | 0 | 0.21 | |
| 2011 | 0.41 | 0.52 | 0.53 | 0.42 | 14 | 109 | 89 | 58 | 315 | 22 | 9 | 48 | 20 | 8 | 13.8 | 0 | 0.24 | |
| 2012 | 0.42 | 0.52 | 0.43 | 0.47 | 10 | 119 | 37 | 51 | 366 | 26 | 11 | 53 | 25 | 0 | 0 | 0.22 | ||
| 2013 | 0.33 | 0.56 | 0.65 | 0.47 | 12 | 131 | 78 | 85 | 451 | 24 | 8 | 55 | 26 | 5 | 5.9 | 2 | 0.17 | 0.24 |
| 2014 | 0.59 | 0.55 | 0.62 | 0.47 | 12 | 143 | 60 | 88 | 539 | 22 | 13 | 58 | 27 | 6 | 6.8 | 0 | 0.23 | |
| 2015 | 0.33 | 0.55 | 0.55 | 0.35 | 12 | 155 | 21 | 85 | 624 | 24 | 8 | 60 | 21 | 7 | 8.2 | 0 | 0.23 | |
| 2016 | 0.71 | 0.53 | 0.77 | 0.73 | 9 | 164 | 22 | 126 | 751 | 24 | 17 | 60 | 44 | 6 | 4.8 | 0 | 0.21 | |
| 2017 | 0.1 | 0.54 | 0.66 | 0.38 | 10 | 174 | 24 | 114 | 865 | 21 | 2 | 55 | 21 | 5 | 4.4 | 1 | 0.1 | 0.22 |
| 2018 | 0.37 | 0.56 | 0.49 | 0.38 | 12 | 186 | 30 | 92 | 957 | 19 | 7 | 55 | 21 | 7 | 7.6 | 1 | 0.08 | 0.24 |
| 2019 | 0.18 | 0.57 | 0.54 | 0.38 | 11 | 197 | 15 | 106 | 1063 | 22 | 4 | 55 | 21 | 1 | 0.9 | 1 | 0.09 | 0.23 |
| 2020 | 0.26 | 0.69 | 0.63 | 0.3 | 12 | 209 | 10 | 131 | 1194 | 23 | 6 | 54 | 16 | 6 | 4.6 | 0 | 0.33 | |
| 2021 | 0.35 | 0.83 | 0.54 | 0.46 | 12 | 221 | 10 | 120 | 1314 | 23 | 8 | 54 | 25 | 8 | 6.7 | 0 | 0.31 | |
| 2022 | 0.46 | 0.89 | 0.49 | 0.46 | 12 | 233 | 5 | 114 | 1428 | 24 | 11 | 57 | 26 | 9 | 7.9 | 1 | 0.08 | 0.27 |
| 2023 | 0.17 | 1.03 | 0.35 | 0.27 | 6 | 239 | 2 | 83 | 1511 | 24 | 4 | 59 | 16 | 2 | 2.4 | 2 | 0.33 | 0.3 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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 | 2000 | Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andersen, Leif ; Andreasen, Jesper . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers || Download paper | 106 |
| 2 | 2007 | A new approach for option pricing under stochastic volatility. (2007). Carr, Peter ; Sun, Jian. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers || Download paper | 81 |
| 3 | 2007 | Option 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 | 72 |
| 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 | 72 |
| 5 | 2011 | Corporate governance and hedge fund activism. (2011). Mooradian, Robert ; Boyson, Nicole . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers || Download paper | 56 |
| 6 | 2003 | The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang ; Villa, Christophe. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers || Download paper | 49 |
| 7 | 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 | 47 |
| 8 | 2007 | Modelling jumps in electricity prices: theory and empirical evidence. (2007). Uhrig-Homburg, Marliese ; Seifert, Jan. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers || Download paper | 40 |
| 9 | 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 | 38 |
| 10 | 2005 | An empirical comparison of GARCH option pricing models. (2005). Ritchken, P. ; Hsieh, K.. In: Review of Derivatives Research. RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150. Full description at Econpapers || Download paper | 36 |
| 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 | 36 |
| 12 | 2010 | Pricing swaps and options on quadratic variation under stochastic time change modelsâdiscrete 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 | 31 |
| 13 | 2009 | Option market making under inventory risk. (2009). Stoikov, Sasha ; Salam, Mehmet. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers || Download paper | 26 |
| 14 | 2004 | Theory of Storage and the Pricing of Commodity Claims. (2004). Nielsen, Martin J. ; Schwartz, Eduardo S.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers || Download paper | 25 |
| 15 | 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 | 23 |
| 16 | 2000 | The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Skiadopoulos, George ; Hodges, Stewart ; Clewlow, Les . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282. Full description at Econpapers || Download paper | 22 |
| 17 | 2006 | Seasonal and stochastic effects in commodity forward curves. (2006). Borovkova, Svetlana ; Geman, Helyette. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers || Download paper | 22 |
| 18 | 2010 | Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, Alessandro ; 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 | 21 |
| 19 | 2006 | Calibration and hedging under jump diffusion. (2006). Forsyth, P. ; Vetzal, K. ; Kennedy, J. ; He, C. ; Li, Y. ; Coleman, T.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers || Download paper | 20 |
| 20 | 2002 | Convergence of numerical methods for valuing path-dependent options using interpolation. (2002). Zvan, R. ; Forsyth, P. ; Vetzal, K.. In: Review of Derivatives Research. RePEc:kap:revdev:v:5:y:2002:i:3:p:273-314. Full description at Econpapers || Download paper | 20 |
| 21 | 2013 | The ?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 | 19 |
| 22 | 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 | 18 |
| 23 | 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 | 16 |
| 24 | 2014 | Pricing 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 | 16 |
| 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 | 16 |
| 26 | 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 | 16 |
| 27 | 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 | 15 |
| 28 | 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 | 13 |
| 29 | 2002 | Banks 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. Full description at Econpapers || Download paper | 13 |
| 30 | 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 | 13 |
| 31 | 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 |
| 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 | 13 | |
| 33 | 2006 | Price discovery in the U.S. stock and stock options markets: A portfolio approach. (2006). Wu, Liuren ; Simaan, Yusif ; Holowczak, Richard. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65. Full description at Econpapers || Download paper | 13 |
| 34 | 2013 | Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. (2013). Siriopoulos, Costas ; Fassas, Athanasios. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:233-266. Full description at Econpapers || Download paper | 13 |
| 35 | 2004 | A Model of the Convenience Yields in On-the-Run Treasuries. (2004). Jarrow, Robert ; Jacquier, Eric ; Cherian, Joseph A.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:2:p:79-97. Full description at Econpapers || Download paper | 12 |
| 36 | 2014 | A 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 | 12 |
| 37 | 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 | 11 |
| 38 | 2009 | Quadratic hedging in affine stochastic volatility models. (2009). Vierthauer, Richard ; Kallsen, Jan. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:3-27. Full description at Econpapers || Download paper | 11 |
| 39 | 2012 | Calibration risk: Illustrating the impact of calibration risk under the Heston model. (2012). Schoutens, Wim ; Guillaume, Florence. In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:1:p:57-79. Full description at Econpapers || Download paper | 10 |
| 40 | 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 | 10 |
| 41 | 2018 | The pricing kernel puzzle in forward looking data. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. 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 | 9 |
| 42 | 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 | 9 |
| 43 | 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 | 9 |
| 44 | 2004 | Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing. (2004). Baule, Rainer ; Wilkens, Marco. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:53-72. Full description at Econpapers || Download paper | 9 |
| 45 | 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 | 9 |
| 46 | 2011 | Modelling 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. Full description at Econpapers || Download paper | 8 |
| 47 | 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 | 8 |
| 48 | 2013 | Parametric modeling of implied smile functions: a generalized SVI model. (2013). Hodges, Stewart ; Zhao, BO. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77. Full description at Econpapers || Download paper | 8 |
| 49 | 2014 | Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. (2014). Hubbert, Simon ; Chan, Ron . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:161-189. Full description at Econpapers || Download paper | 8 |
| 50 | 2006 | Valuation of vulnerable American options with correlated credit risk. (2006). Hung, Mao-Wei ; Chang, Lung-Fu. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:137-165. Full description at Econpapers || Download paper | 8 |
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). Mooradian, Robert ; Boyson, Nicole . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204. Full description at Econpapers || Download paper | 21 |
| 2 | 2007 | A new approach for option pricing under stochastic volatility. (2007). Carr, Peter ; Sun, Jian. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:2:p:87-150. Full description at Econpapers || Download paper | 11 |
| 3 | 2000 | Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing. (2000). Andersen, Leif ; Andreasen, Jesper . In: Review of Derivatives Research. RePEc:kap:revdev:v:4:y:2000:i:3:p:231-262. Full description at Econpapers || Download paper | 9 |
| 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 | 7 |
| 5 | 2003 | The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang ; Villa, Christophe. In: Review of Derivatives Research. RePEc:kap:revdev:v:6:y:2003:i:3:p:179-202. Full description at Econpapers || Download paper | 6 |
| 6 | 2007 | Option 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 | 6 |
| 7 | 2018 | The pricing kernel puzzle in forward looking data. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. 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 | 6 |
| 8 | 2010 | Exchange option pricing under stochastic volatility: a correlation expansion. (2010). Ramponi, Alessandro ; 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 | 5 |
| 9 | 2009 | Option market making under inventory risk. (2009). Stoikov, Sasha ; Salam, Mehmet. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79. Full description at Econpapers || Download paper | 5 |
| 10 | 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 |
| 11 | 2007 | Modelling jumps in electricity prices: theory and empirical evidence. (2007). Uhrig-Homburg, Marliese ; Seifert, Jan. In: Review of Derivatives Research. RePEc:kap:revdev:v:10:y:2007:i:1:p:59-85. Full description at Econpapers || Download paper | 5 |
| 12 | 2018 | A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar Anel, 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 | 4 |
| 13 | 2014 | A 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 | 4 |
| 14 | 2021 | Pricing vulnerable options in a hybrid credit risk model driven by HestonâNandi 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. Full description at Econpapers || Download paper | 4 |
| 15 | 2004 | Theory of Storage and the Pricing of Commodity Claims. (2004). Nielsen, Martin J. ; Schwartz, Eduardo S.. In: Review of Derivatives Research. RePEc:kap:revdev:v:7:y:2004:i:1:p:5-24. Full description at Econpapers || Download paper | 3 |
| 16 | 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 | 3 |
| 17 | 2000 | The Dynamics of the S&P 500 Implied Volatility Surface. (2000). Skiadopoulos, George ; Hodges, Stewart ; Clewlow, Les . In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:263-282. Full description at Econpapers || Download paper | 3 |
| 18 | 2006 | Valuation of vulnerable American options with correlated credit risk. (2006). Hung, Mao-Wei ; Chang, Lung-Fu. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:137-165. Full description at Econpapers || Download paper | 3 |
| 19 | 2017 | On 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. Full description at Econpapers || Download paper | 3 |
| 20 | 2021 | Pricing vulnerable options with jump risk and liquidity risk. (2021). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09177-5. Full description at Econpapers || Download paper | 3 |
| 21 | 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 | 3 |
| 22 | 2006 | Seasonal and stochastic effects in commodity forward curves. (2006). Borovkova, Svetlana ; Geman, Helyette. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:2:p:167-186. Full description at Econpapers || Download paper | 3 |
| 23 | 2016 | Option pricing model with sentiment. (2016). Yang, Jianlei ; Gao, Bin. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:2:d:10.1007_s11147-015-9118-3. Full description at Econpapers || Download paper | 3 |
| 24 | 2000 | Interest rate option pricing with volatility humps. (2000). Ritchken, Peter ; Chuang, Iyuan. In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262. Full description at Econpapers || Download paper | 2 |
| 25 | 2018 | Pricing exotic options in a regime switching economy: a Fourier transform method. (2018). Hieber, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9139-1. Full description at Econpapers || Download paper | 2 |
| 26 | 2019 | Pricing VIX derivatives with free stochastic volatility model. (2019). Chern, Shane ; Li, Shenghong ; Lin, Wei ; Zhang, Jin E. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9145-y. Full description at Econpapers || Download paper | 2 |
| 27 | 2013 | Parametric modeling of implied smile functions: a generalized SVI model. (2013). Hodges, Stewart ; Zhao, BO. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77. Full description at Econpapers || Download paper | 2 |
| 28 | 2011 | Modelling 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. Full description at Econpapers || Download paper | 2 |
| 29 | 2021 | Does model complexity improve pricing accuracy? The case of CoCos. (2021). Weitz, Sebastian ; Koziol, Christian. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09178-4. Full description at Econpapers || Download paper | 2 |
| 30 | 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 | 2 |
| 31 | 2014 | Pricing 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 | 2 |
| 32 | 2013 | Local volatility of volatility for the VIX market. (2013). Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:3:p:267-293. Full description at Econpapers || Download paper | 2 |
| 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 | 2 |
| 34 | 2019 | Pricing and risk of swing contracts in natural gas markets. (2019). Schuhmacher, Frank ; Auer, Benjamin R ; Muhlichen, Hermann ; Kohrs, Hendrik. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9146-x. Full description at Econpapers || Download paper | 2 |
| 35 | 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 | 2 |
| 36 | 2021 | Idiosyncratic 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. Full description at Econpapers || Download paper | 2 |
| 37 | 2015 | The valuation of forward-start rainbow options. (2015). Wang, Jr-Yan ; Chen, Chun-Ying. In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:2:p:145-188. Full description at Econpapers || Download paper | 2 |
| 38 | 2000 | American option valuation under stochastic interest rates. (2000). Chung, San-Lin. In: Review of Derivatives Research. RePEc:kap:revdev:v:3:y:2000:i:3:p:283-307. Full description at Econpapers || Download paper | 2 |
| 39 | 2015 | Erratum to: The valuation of forward-start rainbow options. (2015). Wang, Jr-Yan ; Chen, Chun-Ying. In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:2:p:189-189. Full description at Econpapers || Download paper | 2 |
| 40 | 2020 | Option-implied information: Whatâs 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. Full description at Econpapers || Download paper | 2 |
| 41 | 2020 | Valuing American-style options under the CEV model: an integral representation based method. (2020). Dias, Jose Carlos ; Cruz, Aricson. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09157-w. Full description at Econpapers || Download paper | 2 |
| 42 | 2009 | A general framework for the derivation of asset price bounds: an application to stochastic volatility option models. (2009). Bondarenko, Oleg ; Longarela, Iaki . In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:2:p:81-107. Full description at Econpapers || Download paper | 2 |
| 43 | 2017 | A four-factor stochastic volatility model of commodity prices. (2017). Spinler, Stefan ; Schone, Max F. 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 | 2 |
| 44 | 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 | 2 |
Citing documents used to
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| 2023 | A general method for analysis and valuation of drawdown risk. (2023). Li, Lingfei ; Zhang, Gongqiu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:152:y:2023:i:c:s0165188923000751. Full description at Econpapers || Download paper | |
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