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Citation Profile [Updated: 2024-05-13 08:04:26]
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 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
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 0.45 0.5 8 64 214 29 132 21 40 20 0 1 0.13 0.2
2008 0.24 0.49 0.52 0.55 9 73 28 38 170 17 4 42 23 5 13.2 0 0.23
2009 0.35 0.48 0.52 0.53 10 83 67 43 213 17 6 45 24 3 7 0 0.24
2010 0.21 0.49 0.45 0.27 12 95 87 43 256 19 4 48 13 4 9.3 0 0.21
2011 0.41 0.52 0.53 0.42 14 109 88 58 314 22 9 48 20 8 13.8 0 0.24
2012 0.42 0.52 0.43 0.47 10 119 37 51 365 26 11 53 25 0 0 0.22
2013 0.33 0.56 0.65 0.47 12 131 78 85 450 24 8 55 26 5 5.9 2 0.17 0.24
2014 0.59 0.55 0.62 0.47 12 143 60 88 538 22 13 58 27 6 6.8 0 0.23
2015 0.33 0.55 0.55 0.35 12 155 21 85 623 24 8 60 21 7 8.2 0 0.23
2016 0.67 0.53 0.76 0.7 9 164 22 124 748 24 16 60 42 6 4.8 0 0.21
2017 0.1 0.54 0.66 0.38 10 174 24 114 862 21 2 55 21 5 4.4 1 0.1 0.22
2018 0.37 0.56 0.49 0.36 12 186 29 91 953 19 7 55 20 7 7.7 1 0.08 0.24
2019 0.18 0.57 0.54 0.38 11 197 15 106 1059 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 1190 23 6 54 16 6 4.6 0 0.33
2021 0.35 0.83 0.54 0.46 12 221 10 120 1310 23 8 54 25 8 6.7 0 0.31
2022 0.46 0.9 0.49 0.46 12 233 5 114 1424 24 11 57 26 9 7.9 1 0.08 0.27
2023 0.17 0.98 0.35 0.27 6 239 2 84 1508 24 4 59 16 2 2.4 2 0.33 0.27
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
#YearTitleCited
12000Jump-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
22007A 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.

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80
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.

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72
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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72
52011Corporate 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.

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55
62003The 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.

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49
72003On 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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47
82007Modelling 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.

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40
92003Finite 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
102005An 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.

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36
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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36
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). Stoikov, Sasha ; Salam, Mehmet. In: Review of Derivatives Research. RePEc:kap:revdev:v:12:y:2009:i:1:p:55-79.

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26
142004Theory 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.

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25
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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23
162000The 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.

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22
172006Seasonal 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.

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22
182010Exchange 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.

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21
192006Calibration 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.

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20
202002Convergence 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.

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20
212013The ?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.

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19
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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18
232005The 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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16
242013New 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
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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16
261999Stochastic 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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16
272004On 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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15
282010A 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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13
292002Banks 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
302006Static 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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13
312007Discount 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
32The 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
332006Price 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.

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13
342013Dynamic 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.

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13
352004A 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.

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12
362014A 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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12
372014The 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
382009Quadratic 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.

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11
392000Dynamic 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
402012Calibration 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.

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10
412008On 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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9
422018The 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.

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9
432000Tighter 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
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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9
452004Lean 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.

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9
462014Options 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.

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8
472006Valuation 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.

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8
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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8
492016Credit 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
502013Parametric 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.

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8
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12011Corporate 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

20
22007A 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

10
32000Jump-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
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

7
52003The 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
62007Option 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
72018The 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
82010Exchange 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
92007Modelling 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
102003On 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
112009Option 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
122014A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159.

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4
132021Pricing 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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4
142004Theory 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.

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3
152010A 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
162006Valuation 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.

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3
172016Option 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.

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3
182021Pricing 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.

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3
192006Seasonal 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
202000The 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.

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3
212018A 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.

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3
222017On the multiplicity of option prices under CEV with positive elasticity of variance. (2017). Veestraeten, Dirk . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9122-2.

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

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3
242020Valuing 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.

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2
252003Price 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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2
262021Idiosyncratic 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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2
272000American 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.

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2
282013Local 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.

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2
292009Microstructural 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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2
302019Pricing 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.

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312000Interest 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.

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322021Does 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.

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332018Pricing 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.

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342015The 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.

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352009A 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.

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

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372002Valuation 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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382020Option-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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392017A 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.

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402019Pricing 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.

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412015Erratum 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.

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422011Modelling 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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432013Parametric 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.

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442014Pricing 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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2023On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model. (2023). Pravosud, Makar ; Nualart, Eulalia ; Alos, Elisa. In: Papers. RePEc:arx:papers:2308.15341.

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2023A 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.

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2023Coupled Price–Volume Equity Models with Auto-Induced Regime Switching. (2023). Shamraeva, Victoria V ; Mota, Pedro P ; Krasii, Nadezhda P ; Esquivel, Manuel L. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:203-:d:1282722.

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2022On the exercise of American quanto options. (2022). Sbuelz, Alessandro ; de Donno, Marzia ; Battauz, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000870.

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