Review of Derivatives Research

Papers
(The median citation count of Review of Derivatives Research 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 2020-10-01 to 2024-10-01.)
ArticleCitations
Hedging cryptocurrency options8
Pricing vulnerable options with jump risk and liquidity risk8
Optimal exercise of American put options near maturity: A new economic perspective5
Pricing vulnerable basket spread options with liquidity risk4
Deep calibration of financial models: turning theory into practice3
Valuing fade-in options with default risk in Heston–Nandi GARCH models3
A model-free approach to multivariate option pricing3
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods3
Idiosyncratic volatility, option-based measures of informed trading, and investor attention3
Bayesian estimation of the stochastic volatility model with double exponential jumps2
The value of power-related options under spectrally negative Lévy processes2
Economic policy uncertainty and volatility of treasury futures2
Does model complexity improve pricing accuracy? The case of CoCos2
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation2
Pricing levered warrants under the CEV diffusion model2
An affine model for short rates when monetary policy is path dependent1
Mean-variance hedging in the presence of estimation risk1
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach1
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility1
Continuity correction: on the pricing of discrete double barrier options1
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities1
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