Review of Derivatives Research

Papers
(The TQCC of Review of Derivatives Research is 2. 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
Pricing vulnerable basket spread options with liquidity risk3
Idiosyncratic volatility, option-based measures of informed trading, and investor attention3
Hedging cryptocurrency options3
Valuing fade-in options with default risk in Heston–Nandi GARCH models3
Deep calibration of financial models: turning theory into practice2
A model-free approach to multivariate option pricing2
The impact of the leverage effect on the implied volatility smile: evidence for the German option market2
Bayesian estimation of the stochastic volatility model with double exponential jumps2
The value of power-related options under spectrally negative Lévy processes2
Does model complexity improve pricing accuracy? The case of CoCos2
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