Journal of Derivatives

Papers
(The TQCC 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 2022-05-01 to 2026-05-01.)
ArticleCitations
The Forecasting Power of Short-Term Options6
On the Term Structure of VIX Futures’ Implied Convexity6
Robust Consumption and Portfolio Choice under the 4/2 Stochastic Volatility Model4
Pricing Vulnerable Basket-Spread Options in Multivariate Variance Gamma Models3
Evaluation of Deep Learning Algorithms for Quadratic Hedging3
Pricing Total Return Swaps3
Editor’s Letter3
Implied Willow Tree3
A Convolution-Based Heterogeneous Autoregressive Model for Implied Volatility Surface Forecasting3
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution3
Risk-Neutral Pricing of Quanto Options with Generative Machine Learning Techniques2
Option Valuation with Nonmonotonic Pricing Kernel and Embedded Volatility Component Premiums2
Contract-Level Binary Prediction of Implied Volatility Surfaces Using Transformers2
Long-Term Benefits of Call Overwriting2
Editor’s Letter2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Editor’s Letter1
Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model1
The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices1
A Leptokurtic Distribution Explains Volatility Skew and Smile1
An Enhanced Static Hedge: Using Two Symmetric Pairs of Options1
Deriving Better Second-Order Derivatives1
Practical Application of Derivatives in Asset Management1
Lattice Approach for Option Pricing under Lévy Processes1
Pricing American Options under Levy Jump Models: A Multidimensional Transform Method1
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time1
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction1
Dynamic Programming for Valuing Options Embedded in Corporate Bonds1
Generalized Compounding and Growth Optimal Portfolios Reconciling Kelly and Samuelson0
Kernel-Based Machine Learning for Option Pricing0
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach0
ARM: The Analytic Recovery Method0
Transforming Derivatives Education: Bridging the Gap Between Theory and Practice0
Editor’s Letter0
Editor’s Letter0
VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model0
Semi-Analytic Pricing of American Options in Time-Dependent Jump-Diffusion Models with Exponential Jumps0
A Quantum Jump Model of Option Pricing0
Does Domain Symmetry Affect the Estimation of Implied Skewness?0
The Leland Model as a Consistent Framework for Analytic Valuation of Equity and Options on Equity0
Model-Free Deep Hedging with Transaction Costs and Light and Augmented Data Methods0
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case0
VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion0
Frank Fabozzi Interview with Thomas S. Y. Ho0
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support0
Exploiting the Gap Between Implied and Realized Volatility0
Editor’s Letter0
Systematic Risk and the Discount for Lack of Marketability0
SPAC to Basics: A Monte Carlo Approach to Valuing De-SPAC Warrants with Path-Dependent Redemption Features0
Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX0
Term Structure of Credit Default Swap Liquidity Premiums0
Inferring the Implied Volatility of SOFR-Based Swaptions0
Market Probability of Interest Rate Tick Movements0
Construction of a Bivariate Distribution Accounting for Correlation Skew by Alternate Projections0
Caplets/Floorlets with Backward-Looking Risk-Free Rates under the One- and Two-Factor Hull-White Models0
Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis0
A Two-Factor Contingent Convertible Bond Pricing Model with Calibrated Option-Adjusted Spread0
Cross-Market Manipulation on Derivative Market Expiration Dates0
Thirty Years ofThe Journal of Derivatives: A Bibliometric Overview0
Hedge and Price American Options with Static Hedging Portfolio Method under Stochastic Volatility0
Modeling Stock Return Distributions and Pricing Options0
GPU-Accelerated American Option Pricing: The Case of the Longstaff-Schwartz Monte Carlo Model0
Advanced Option Pricing and Hedging with Q-Learning: Performance Evaluation of the QLBS Algorithm0
A Structural Pricing Model for WTI Futures0
Price Connection between Parasian Options with a Moving Window and Their Fixed Window Counterparts0
Sector Option Correlation Premiums and Predictable Changes in Implied Volatility0
Dynamic Optimality of Airline Fuel Cost Hedging0
Nonparametric Market-Implied Greeks0
A Time-Varying, Feature-Rearranged Convolutional Neural Network for Option Pricing0
Willow Tree Approach to Optimal Investment with Capital Restriction under Merton’s Jump Diffusion Model0
Recovery of Conditional Densities and Their Moments: Time Homogeneity and Anomalies0
Smoothing Tail Estimation of Risk-Neutral Densities: Evidence from S&P 500 Index Options0
Analytical Formula for Pricing European Options with Stochastic Volatility under the GARCH-PDE Approximation0
Editor’s Letter0
A Note on Variance Swap Greeks0
The Embedded Option Pricing of Treasury Bond Futures under GED-IO Model0
Editor’s Letter0
Editor’s Letter0
Commodity ETF Arbitrage: Futures-Backed versus Physical-Backed ETFs0
Editor’s Letter0
Editor’s Letter0
Risk-Weighted Time-Series Momentum: New Evidence from China’s Commodity Futures0
Model-Free Boundaries of Option Time Value and Early Exercise Premium0
Editor’s Letter0
Financial Interpretation of Feller’s Factorization0
Pricing on Trees Using New Risk-Free Rates0
Editor’s Letter0
The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 20190
Vol, Skew, and Smile Trading0
Improving and Extending the Wu-Zhu Static Hedge0
Model01: The Dollar Value of a Normalized, Unit Model Change via Information-Geometry0
Measuring Information Flows in Option Markets: A Relative Entropy Approach0
The Performance of Jump Models to Price Commodity Options0
Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin0
Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation0
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions0
Editor’s Letter0
Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics0
A Bayesian View on Autocallable Pricing and Risk Management0
Trader-Ready SOFR Swaption Pricing: Jamshidian Decomposition under the Hull–White Model0
LIBOR Reform: Option Pricing for Compounded Rates0
Semianalytical Pricing of American Options with Hybrid Dividends via Integral Equations and the GIT Method0
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges0
Direct Fit for SVI Implied Volatilities0
Biased Implied Volatilities and Dividend-Paying Stocks0
Editor’s Letter0
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
Instantaneous and Averaged Volatility in Two-Side Filtration Model of Financial Asset Pricing0
Simulating Theta and Gamma of American Options0
Editor’s Letter0
Beyond Basel 4: Integrating Over-the-Counter Derivatives Risk Capital Requirements0
The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure0
Malliavin Derivatives of Derivative Securities0
My Reminiscences of Peter Carr0
A Pull-to-Par Binomial Model for Pricing Options on Bonds0
Does It Take Two to ConTango?0
Standard Portfolio Analysis of Risk versus Filtered Historical Simulation Value-at-Risk and Its Improvements: Evidence from Taiwan Market0
Exotic Callable Structured Products Valuation via Randomized Neural Networks0
The Impact of the Self-Exciting Process on the Short-Term Interest Rate Model0
Which Factors Play a Role in CoCo Issuance? Evidence from European Banks0
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