Citation analysis for Review of Derivatives Research / Springer

Citation Profile [Updated: 2025-11-20 18:08:17]

5 Years H Index

Impact Factor (IF)

0.44

5 Years IF

0.45

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	0.29	0.5	0	4	4	28		2	0		0			0		0	0.14
2000	0.25	0.34	0.06	0.25	12	16	170	1	3	4	1	4	1		0		0	0.16
2002	0	0.39	0.23	0	6	22	63	4	8	12		16			0	4	0.67	0.2
2003	0	0.43	0.39	0.36	6	28	187	11	19	6		22	8		0	3	0.5	0.21
2004	1.33	0.47	0.69	0.68	7	35	145	24	43	12	16	28	19		0	3	0.43	0.21
2005	1.54	0.5	0.81	0.97	12	47	88	37	81	13	20	31	30	4	10.8		0	0.23
2006	0.26	0.49	0.48	0.55	9	56	82	26	108	19	5	31	17	4	15.4		0	0.22
2007	0	0.44	0.47	0.53	8	64	226	30	138	21		40	21		0	1	0.13	0.2
2008	0.24	0.47	0.53	0.57	9	73	31	39	177	17	4	42	24	5	12.8		0	0.22
2009	0.35	0.46	0.52	0.53	10	83	70	43	220	17	6	45	24	3	7		0	0.23
2010	0.21	0.46	0.45	0.27	12	95	91	43	263	19	4	48	13	4	9.3		0	0.2
2011	0.41	0.51	0.55	0.42	14	109	95	60	323	22	9	48	20	8	13.3		0	0.24
2012	0.42	0.5	0.41	0.47	10	119	39	49	372	26	11	53	25		0		0	0.21
2013	0.33	0.54	0.65	0.47	12	131	86	85	457	24	8	55	26	5	5.9	2	0.17	0.24
2014	0.59	0.53	0.62	0.48	12	143	68	89	546	22	13	58	28	6	6.7		0	0.22
2015	0.38	0.53	0.55	0.37	12	155	24	86	632	24	9	60	22	7	8.1		0	0.22
2016	0.71	0.5	0.78	0.73	9	164	25	127	760	24	17	60	44	6	4.7		0	0.2
2017	0.1	0.52	0.66	0.38	10	174	29	114	874	21	2	55	21	5	4.4	1	0.1	0.21
2018	0.37	0.53	0.5	0.38	12	186	37	93	967	19	7	55	21	7	7.5	1	0.08	0.22
2019	0.18	0.54	0.53	0.38	11	197	23	105	1072	22	4	55	21	1	1	1	0.09	0.21
2020	0.26	0.64	0.62	0.3	12	209	15	130	1202	23	6	54	16	6	4.6		0	0.3
2021	0.35	0.74	0.55	0.46	12	221	16	121	1323	23	8	54	25	8	6.6		0	0.27
2022	0.46	0.74	0.49	0.42	12	233	10	115	1438	24	11	57	24	9	7.8	1	0.08	0.22
2023	0.13	0.7	0.31	0.24	6	239	9	74	1512	24	3	59	14	2	2.7	2	0.33	0.2
2024	0.44	0.82	0.4	0.45	9	248	4	98	1610	18	8	53	24	8	8.2	2	0.22	0.24

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	109
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	85
3	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	79
4	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃ© ; 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	78
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	61
6	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃ¤rdle, 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	56
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	51
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	41
9	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	40
10	2003	Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). 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
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	33
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	28
14	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	26
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	26
16	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	24
17	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	23
18	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
19	2006	Calibration and hedging under jump diffusion. (2006). Coleman, T. ; Forsyth, P. ; Vetzal, K. ; Kennedy, J. ; He, C. ; Li, Y.. In: Review of Derivatives Research. RePEc:kap:revdev:v:9:y:2006:i:1:p:1-35. Full description at Econpapers \|\| Download paper	22
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	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	19
22	2013	The Î±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
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	17
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	17
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	2014	A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, GonÃ§alo ; Correia-da-Silva, Joao ; 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	16
27	2014	Pricing average options under time-changed LÃ©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	16
28	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
29	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	14
30	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
31		The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests. (2005). Kavussanos, Manolis ; Visvikis, Ilias ; 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
32	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
33	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	13
34	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
35	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
36	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
37	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
38	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	12
39	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
40	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
41	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	11
42	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	10
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	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
45	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
46	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	9
47	2008	Distressed debt prices and recovery rate estimation. (2008). Jarrow, Robert ; Guo, Xin ; Lin, Haizhi . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers \|\| Download paper	9
48	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	9
49	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	9
50	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	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	16
2	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	11
3	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	11
4	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	10
5	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	9
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	7
7	2007	Option pricing when correlations are stochastic: an analytical framework. (2007). Tebaldi, Claudio ; DA FONSECA, JosÃ© ; 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	7
8	2023	Hedging cryptocurrency options. (2023). Matic, Jovanka ; Hardle, Wolfgang Karl ; Packham, Natalie. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6. Full description at Econpapers \|\| Download paper	5
9	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	5
10	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	5
11	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	4
12	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	4
13	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	4
14	2023	Pricing vulnerable basket spread options with liquidity risk. (2023). Wang, Xingchun ; Dong, Ziming ; Tang, Dan. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-022-09192-0. Full description at Econpapers \|\| Download paper	4
15	2003	The Dynamics of Implied Volatilities: A Common Principal Components Approach. (2003). HÃ¤rdle, 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	3
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	3
17	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	3
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	3
19	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	3
20	2014	A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, GonÃ§alo ; Correia-da-Silva, Joao ; 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	3
21	2014	Does modeling framework matter? A comparative study of structural and reduced-form models. (2014). GÃ¼ndÃ¼z, Yalin ; Gunduz, Yalin ; Uhrig-Homburg, Marliese. In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:1:p:39-78. Full description at Econpapers \|\| Download paper	3
22	2020	A note on options and bubbles under the CEV model: implications for pricing and hedging. (2020). Dias, Jose Carlos ; Vidal, Joo Pedro ; Cruz, Aricson. 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	3
23	2019	A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z. Full description at Econpapers \|\| Download paper	3
24	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	3
25	2019	Pricing and risk of swing contracts in natural gas markets. (2019). Muhlichen, Hermann ; Kohrs, Hendrik ; Schuhmacher, Frank ; Auer, Benjamin R. 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	3
26	2013	Valuation of American partial barrier options. (2013). Ku, Hyejin ; Jun, Doobae. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:167-191. Full description at Econpapers \|\| Download paper	2
27	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	2
28	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
29	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
30	2024	Simple is simply not enoughâfeatures versus labels of complex financial securities. (2024). Osterkamp, Werner ; Hibbeln, Martin. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:2:d:10.1007_s11147-024-09201-4. Full description at Econpapers \|\| Download paper	2
31	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
32	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	2
33	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	2
34	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
35	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	2
36	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	2
37	2013	How fair-value accounting can influence firm hedging. (2013). Beisland, Leif ; Frestad, Dennis. In: Review of Derivatives Research. RePEc:kap:revdev:v:16:y:2013:i:2:p:193-217. Full description at Econpapers \|\| Download paper	2
38	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	2
39	2016	On exact pricing of FX options in multivariate time-changed LÃ©vy models. (2016). Ivanov, Roman V. In: Review of Derivatives Research. RePEc:kap:revdev:v:19:y:2016:i:3:d:10.1007_s11147-016-9120-4. Full description at Econpapers \|\| Download paper	2
40	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	2
41	2015	Are put-call ratios a substitute for short sales?. (2015). Blau, Benjamin ; Brough, Tyler . In: Review of Derivatives Research. RePEc:kap:revdev:v:18:y:2015:i:1:p:51-73. Full description at Econpapers \|\| Download paper	2
42	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
43	2022	Economic policy uncertainty and volatility of treasury futures. (2022). Zhao, Yang ; Zhang, Maojun ; Nan, Jiangxia. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09182-8. Full description at Econpapers \|\| Download paper	2
44	2017	Pricing double barrier options under a volatility regime-switching model with psychological barriers. (2017). Wang, Yongjin ; Song, Shiyu. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9130-x. Full description at Econpapers \|\| Download paper	2
45	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	2
46	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
47	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
48	2008	Distressed debt prices and recovery rate estimation. (2008). Jarrow, Robert ; Guo, Xin ; Lin, Haizhi . In: Review of Derivatives Research. RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204. Full description at Econpapers \|\| Download paper	2
49	2022	Deep calibration of financial models: turning theory into practice. (2022). Buchel, Patrick ; Kratochwil, Michael ; Nagl, Maximilian ; Rosch, Daniel. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-021-09183-7. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 8

Year	Title
2024	A two-factor structural model for valuing corporate securities. (2024). Cherif, Rim ; Ben-Abdellatif, Malek ; Ben-Ameur, Hatem ; Remillard, Bruno. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:2:d:10.1007_s11147-024-09203-2. Full description at Econpapers \|\| Download paper
2024	Economic policy uncertainty and volatility of corporate bond credit spread: Evidence from China and the United States. (2024). Zhao, Yang ; Zhang, Rongjia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:827-841. Full description at Econpapers \|\| Download paper
2024	A Multi-step Approach for Minimizing Risk in Decentralized Exchanges. (2024). Gatta, Federico ; di Nosse, Daniele Maria. In: Papers. RePEc:arx:papers:2406.07200. Full description at Econpapers \|\| Download paper
2024	On the pricing of vulnerable Parisian options. (2024). Liu, Zheng ; Yao, Jing ; Qian, Linyi. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010250. Full description at Econpapers \|\| Download paper
2024	The BoyleâRomberg Trinomial Tree, a Highly Efficient Method for Double Barrier Option Pricing. (2024). Leduc, Guillaume. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:7:p:964-:d:1362963. Full description at Econpapers \|\| Download paper
2024	Putâcall parity in a crypto option market â Evidence from Binance. (2024). Felfoldi-Szcs, Nora ; Varadi, Kata ; Kralik, Balazs. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461. Full description at Econpapers \|\| Download paper
2024	Dynamic dependence between quantum computing stocks and Bitcoin: Portfolio strategies for a new era of asset classes. (2024). GÃ¶zgÃ¶r, Giray ; ben Jabeur, Sami ; Si, Kamel ; Rezgui, Hichem. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004101. Full description at Econpapers \|\| Download paper
2024	Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Nagy, Odett ; Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document
2024	The interaction between equity-based compensation and debt in managerial risk choices. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro ; Dias, Jose Carlos ; Gloria, Carlos Miguel. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:3:d:10.1007_s11147-024-09205-0. Full description at Econpapers \|\| Download paper
2024	Analyzing Short-Rate Models for Efficient Bond Option Pricing: A Review. (2024). Rani, Indu ; Verma, Chandan Kumar. In: SN Operations Research Forum. RePEc:spr:snopef:v:5:y:2024:i:3:d:10.1007_s43069-024-00351-7. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document
2023	Crypto quanto and inverse options. (2023). Alexander, Carol ; Imeraj, Arben ; Chen, Ding. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:4:p:1005-1043. Full description at Econpapers \|\| Download paper
2023	Coupled PriceâVolume 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	On the exercise of American quanto options. (2022). De Donno, Marzia ; Battauz, Anna ; Sbuelz, Alessandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000870. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	117
2	Review of Derivatives Research / Springer	20	39
3	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	29
4	The North American Journal of Economics and Finance / Elsevier	52	20
5	Mathematics / MDPI	18	18
6	Annals of Operations Research / Springer	53	18
7	Journal of Banking & Finance / Elsevier	184	14
8	International Review of Financial Analysis / Elsevier	86	14
9	Energy Economics / Elsevier	175	13
10	Physica A: Statistical Mechanics and its Applications / Elsevier	76	11
11	European Journal of Operational Research / Elsevier	138	11