Journal of Derivatives

(The TQCC of Journal of Derivatives is 1. 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.)
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