Journal of Derivatives

Papers
(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 2020-11-01 to 2024-11-01.)
ArticleCitations
Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation9
Evaluation of Deep Learning Algorithms for Quadratic Hedging6
Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process6
American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion6
Pricing and Hedging Options on Assets with Options on Related Assets5
How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?4
Term Risk-Free Rates: Methodologies, Challenges, and the Future4
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation4
A Primer on Hedging with Stock Index Futures3
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes3
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure3
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives3
Income Enhancement with Options2
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX2
Price Discovery in a New Futures Market: Micro E-Mini Index Futures2
Delta-Gamma-Like Hedging with Transaction Cost under Reinforcement Learning Technique2
Cover’s Rebalancing Option with Discrete Hindsight Optimization2
Can the Improved CMBO Strategies Beat the CMBO Index?2
A Closed-Form Model-Free Implied Volatility Formula through Delta Families2
SOFR Term Rates from Treasury Repo Pricing2
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density2
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
Tail Risk Hedging in a Low-Rate Environment1
Pricing Dynamics of Oil Futures with Tail Risk1
An Arbitrage-Free Real-World Model for Fractional Option Prices1
Wavelet Multiscale and Spillover Analyses of Volatility and Correlation1
Model Risk in Risk Analysis for No-Negative-Equity-Guarantees1
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation1
A Bayesian View on Autocallable Pricing and Risk Management1
Do Options Belong in the Portfolios of Individual Investors?1
Negative WTI Price: What Really Happened and What Can We Learn?1
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution1
Option Pricing Models: From Black-Scholes-Merton to Present1
Option Pricing with Greed and Fear Factor: The Rational Finance Approach1
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models1
Lattice Approach for Option Pricing under Lévy Processes1
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