Review of Derivatives Research

Papers
(The TQCC of Review of Derivatives Research is 3. 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
Pricing vulnerable options with jump risk and liquidity risk8
Hedging cryptocurrency options8
Optimal exercise of American put options near maturity: A new economic perspective5
Pricing vulnerable basket spread options with liquidity risk4
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
Deep calibration of financial models: turning theory into practice3
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