Journal of Derivatives

Papers
(The median citation count of Journal of Derivatives is 0. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2021-02-01 to 2025-02-01.)
ArticleCitations
Biased Implied Volatilities and Dividend-Paying Stocks6
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes6
On the Term Structure of VIX Futures’ Implied Convexity6
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions5
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time4
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case4
Simplified Option Price Derivations3
Editor’s Letter3
Equity Portfolio Trading with Volatility and Dividend Derivatives3
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density3
Editor’s Letter2
Editor’s Letter2
A Note on Variance Swap Greeks2
Price Discovery in a New Futures Market: Micro E-Mini Index Futures2
Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process2
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach2
The Forecasting Power of Short-Term Options2
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support1
LIBOR Reform: Option Pricing for Compounded Rates1
Editor’s Letter1
Application of Credit Derivatives in Portfolio Management1
Testing and Mapping an Empirical Exercise Boundary for the American Put Option1
Deriving Better Second-Order Derivatives1
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives1
Editor’s Letter1
Pricing Total Return Swaps1
SOFR Term Rates from Treasury Repo Pricing1
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models1
Option Pricing Models: From Black-Scholes-Merton to Present1
Editor’s Letter1
The Time Dimension of Volatility: Implications for Option Strategy Design1
Editor’s Letter1
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
A Leptokurtic Distribution Explains Volatility Skew and Smile0
Analytical Valuation of Compound Options under Regime-Switching Dynamics0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
Term Structure of Credit Default Swap Liquidity Premiums0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts0
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure0
A Time-Varying, Feature-Rearranged Convolutional Neural Network for Option Pricing0
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps0
Editor’s Letter0
My Reminiscences of Peter Carr0
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method0
Recovery of Conditional Densities and Their Moments: Time Homogeneity and Anomalies0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Evaluation of Deep Learning Algorithms for Quadratic Hedging0
Thirty Years ofThe Journal of Derivatives: A Bibliometric Overview0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
Editor’s Letter0
Pricing of Adverse Development Covers Using Option Pricing Methods0
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation0
Editor’s Letter0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model0
Direct Fit for SVI Implied Volatilities0
Editor’s Letter0
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 20190
Taxes and Derivatives: An Investor’s Perspective0
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson0
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution0
Do Options Belong in the Portfolios of Individual Investors?0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
Inferring the Implied Volatility of SOFR-Based Swaptions0
Pricing Dynamics of Oil Futures with Tail Risk0
Simulating Theta and Gamma of American Options0
A Bayesian View on Autocallable Pricing and Risk Management0
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion0
Income Enhancement with Options0
Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees0
Negative WTI Price: What Really Happened and What Can We Learn?0
Malliavin Derivatives of Derivative Securities0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Pricing and Hedging Options on Assets with Options on Related Assets0
Applications of FX Derivatives in Active Currency Risk Management0
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
Option Pricing with Greed and Fear Factor: The Rational Finance Approach0
Implied Willow Tree0
The Performance of Jump Models to Price Commodity Options0
Bias Correction for Bond Option Greeks via Jackknife0
Cover’s Rebalancing Option with Discrete Hindsight Optimization0
Vol, Skew, and Smile Trading0
Handling the Use of Derivatives in Performance Attribution0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
Editor’s Letter0
ARM: The Analytic Recovery Method0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation0
Market Probability of Interest Rate Tick Movements0
Editor’s Letter0
Exploiting the Gap Between Implied and Realized Volatility0
Advanced Option Pricing and Hedging with Q-Learning: Performance Evaluation of the QLBS Algorithm0
Editor’s Letter0
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique0
Pricing on Trees Using New Risk-Free Rates0
Transforming Derivatives Education: Bridging the Gap Between Theory and Practice0
Improving and Extending the Wu-Zhu Static Hedge0
A Primer on Hedging with Stock Index Futures0
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features0
Tail Risk Hedging in a Low-Rate Environment0
An Arbitrage-Free Real-World Model for Fractional Option Prices0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
Editor’s Letter0
Term Risk-Free Rates: Methodologies, Challenges, and the Future0
Practical Application of Derivatives in Asset Management0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Editor’s Letter0
Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion0
Financial Interpretation of Feller’s Factorization0
Editor’s Letter0
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction0
Lattice Approach for Option Pricing under Lévy Processes0
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