Review of Derivatives Research

Papers
(The H4-Index of Review of Derivatives Research is 4. 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 2020-03-01 to 2024-03-01.)
ArticleCitations
Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes12
Option-implied information: What’s the vol surface got to do with it?8
Pricing vulnerable options with jump risk and liquidity risk6
Diversification with options and structured products4
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