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 2020-07-01 to 2024-07-01.)
ArticleCitations
Semi-Closed Form Prices of Barrier Options in the Time-Dependent CEV and CIR Models9
Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation7
Pricing and Hedging Options on Assets with Options on Related Assets5
Evaluation of Deep Learning Algorithms for Quadratic Hedging5
Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process5
Term Risk-Free Rates: Methodologies, Challenges, and the Future3
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure3
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion3
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives3
A Primer on Hedging with Stock Index Futures3
How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?3
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation2
Price Discovery in a New Futures Market: Micro E-Mini Index Futures2
Income Enhancement with Options2
Cover’s Rebalancing Option with Discrete Hindsight Optimization2
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density2
A Closed-Form Model-Free Implied Volatility Formula through Delta Families2
SOFR Term Rates from Treasury Repo Pricing2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Tail Risk Hedging in a Low-Rate Environment1
A Bayesian View on Autocallable Pricing and Risk Management1
Lattice Approach for Option Pricing under Lévy Processes1
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation1
Do Options Belong in the Portfolios of Individual Investors?1
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX1
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution1
Model Risk in Risk Analysis for No-Negative-Equity-Guarantees1
Option Pricing with Greed and Fear Factor: The Rational Finance Approach1
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique1
An Arbitrage-Free Real-World Model for Fractional Option Prices1
Negative WTI Price: What Really Happened and What Can We Learn?1
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson1
Can the Improved CMBO Strategies Beat the CMBO Index?1
Term Structure of Credit Default Swap Liquidity Premiums0
Testing and Mapping an Empirical Exercise Boundary for the American Put Option0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Editor’s Letter0
Editor’s Letter0
Analytical Valuation of Compound Options under Regime-Switching Dynamics0
Editor’s Letter0
Evergreen Trees: The Likelihood Ratio Method for Binomial and Trinomial Trees0
Editor’s Letter0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Editor’s Letter0
Analytical Valuation of Exotic Double Barrier Options0
Pricing Dynamics of Oil Futures with Tail Risk0
Editor’s Letter0
Direct Fit for SVI Implied Volatilities0
A Note on Variance Swap Greeks0
Jump, Diffusion, and Long-Term Volatility Risks with Incremental Information in VIX Assets0
LIBOR Reform: Option Pricing for Compounded Rates0
Malliavin Derivatives of Derivative Securities0
Editor’s Letter0
The Performance of Jump Models to Price Commodity Options0
Pricing Total Return Swaps0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
Editor’s Letter0
Editor’s Letter0
Editor’s Letter0
Editor’s Letter0
My Reminiscences of Peter Carr0
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method0
Simplified Option Price Derivations0
Editor’s Letter0
Editor’s Letter0
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time0
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums0
Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk Taking of Hedge Funds0
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions0
Inferring the Implied Volatility of SOFR-Based Swaptions0
Practical Application of Derivatives in Asset Management0
Biased Implied Volatilities and Dividend-Paying Stocks0
Taxes and Derivatives: An Investor’s Perspective0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies0
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Applications of FX Derivatives in Active Currency Risk Management0
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses0
Editor’s Letter0
Application of Credit Derivatives in Portfolio Management0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Universal Arbitrage-Free Estimation of State Price Density0
Exploiting the Gap Between Implied and Realized Volatility0
Editor’s Letter0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
Simulating Theta and Gamma of American Options0
A Derivatives Pricing Model with Non-Cash Collateralization0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
Deriving Better Second-Order Derivatives0
Improving and Extending the Wu-Zhu Static Hedge0
Pricing of Adverse Development Covers Using Option Pricing Methods0
Equity Portfolio Trading with Volatility and Dividend Derivatives0
The Free Boundary for the American Put Option0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
Interviews with Researchers Who Started Their Career in Physics but Moved to Finance0
Editor’s Letter0
Handling the Use of Derivatives in Performance Attribution0
On the Term Structure of VIX Futures’ Implied Convexity0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
Bias Correction for Bond Option Greeks via Jackknife0
ARM: The Analytic Recovery Method0
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models0
The Premium Reduction of European, American, and Perpetual Log Return Options0
Editor’s Letter0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
Option Pricing Models: From Black-Scholes-Merton to Present0
Optimal Volatility Dependent Derivatives in the Stochastic Volatility Model0
The Time Dimension of Volatility: Implications for Option Strategy Design0
Vol, Skew, and Smile Trading0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
Financial Interpretation of Feller’s Factorization0
Implied Willow Tree0
An Arbitrage-Free Interpolation of Class C2 for Option Prices0
0.037276983261108