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 2020-02-01 to 2024-02-01.)
ArticleCitations
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds22
Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models8
Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation6
Pricing and Hedging Options on Assets with Options on Related Assets5
Quantum Option Pricing and Quantum Finance5
Physics and Derivatives: On Three Important Problems in Mathematical Finance4
Evaluation of Deep Learning Algorithms for Quadratic Hedging4
Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process4
Term Risk-Free Rates: Methodologies, Challenges, and the Future3
Closed-Form Solution for Defaultable Bond Options under a Two-Factor Gaussian Model for Risky Rates Modeling3
How Do Options Affect the Volatility of the Underlying Equity Market? Evidence from the Introduction of Weekly Options3
Analytically Deriving Risk-Neutral Densities from Volatility Smiles in Delta3
Risk Metrics Evaluation for Variable Annuities with Various Guaranteed Benefits3
Information Leakage in Energy Derivatives around News Announcements3
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives3
Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation Method3
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion3
How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?3
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure2
Pricing of Basket Options by Conditioning and Moment Matching2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Income Enhancement with Options2
A Primer on Hedging with Stock Index Futures2
Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function2
An Approximate Swaption Formula in Heath–Jarrow–Morton Models2
Cover’s Rebalancing Option with Discrete Hindsight Optimization2
SOFR Term Rates from Treasury Repo Pricing2
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density2
Price Discovery in a New Futures Market: Micro E-Mini Index Futures2
A Closed-Form Model-Free Implied Volatility Formula through Delta Families2
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique1
An Arbitrage-Free Real-World Model for Fractional Option Prices1
Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities1
Model-Free Backward and Forward Nonlinear PDEs for Implied Volatility1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
Option Pricing with Greed and Fear Factor: The Rational Finance Approach1
The Impact of High-Frequency Trading on Australian Futures Market Liquidity and Efficiency1
Information Content of Options Trading Prior to Dividend Initiations1
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation1
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson1
Can the Improved CMBO Strategies Beat the CMBO Index?1
Tail Risk Hedging in a Low-Rate Environment1
Lattice Approach for Option Pricing under Lévy Processes1
Negative WTI Price: What Really Happened and What Can We Learn?1
Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model1
Model Risk in Risk Analysis for No-Negative-Equity-Guarantees1
Direct Fit for SVI Implied Volatilities0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Editor’s Letter0
A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies0
Editor’s Letter0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
Simplified Option Price Derivations0
Malliavin Derivatives of Derivative Securities0
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method0
Term Structure of Credit Default Swap Liquidity Premiums0
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time0
Handling the Use of Derivatives in Performance Attribution0
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Bias Correction for Bond Option Greeks via Jackknife0
Biased Implied Volatilities and Dividend-Paying Stocks0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution0
Improving and Extending the Wu-Zhu Static Hedge0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Editor’s Letter0
Option Pricing Models: From Black-Scholes-Merton to Present0
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums0
The Time Dimension of Volatility: Implications for Option Strategy Design0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
Taxes and Derivatives: An Investor’s Perspective0
An Arbitrage-Free Interpolation of Class C2 for Option Prices0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
A Derivatives Pricing Model with Non-Cash Collateralization0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
Editor’s Letter0
Deriving Better Second-Order Derivatives0
The Premium Reduction of European, American, and Perpetual Log Return Options0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
Editor’s Letter0
Equity Portfolio Trading with Volatility and Dividend Derivatives0
Pricing of Adverse Development Covers Using Option Pricing Methods0
Implied Willow Tree0
Interviews with Researchers Who Started Their Career in Physics but Moved to Finance0
Editor’s Letter0
Editor’s Letter0
On the Term Structure of VIX Futures’ Implied Convexity0
Financial Interpretation of Feller’s Factorization0
Editor’s Letter0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
A Note on Variance Swap Greeks0
Editor’s Letter0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
The Free Boundary for the American Put Option0
Editor’s Letter0
A Bayesian View on Autocallable Pricing and Risk Management0
Do Options Belong in the Portfolios of Individual Investors?0
Pricing Total Return Swaps0
ARM: The Analytic Recovery Method0
Editor’s Letter0
Vol, Skew, and Smile Trading0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
Testing and Mapping an Empirical Exercise Boundary for the American Put Option0
Applications of FX Derivatives in Active Currency Risk Management0
Editor’s Letter0
Editor’s Letter0
Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Simulating Theta and Gamma of American Options0
Editor’s Letter0
Analytical Valuation of Compound Options under Regime-Switching Dynamics0
Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model0
Practical Application of Derivatives in Asset Management0
Analytical Valuation of Exotic Double Barrier Options0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
My Reminiscences of Peter Carr0
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models0
Editor’s Letter0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees0
Application of Credit Derivatives in Portfolio Management0
Editor’s Letter0
Pricing Dynamics of Oil Futures with Tail Risk0
Universal Arbitrage-Free Estimation of State Price Density0
The Performance of Jump Models to Price Commodity Options0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Editor’s Letter0
0.017231941223145