Journal of Derivatives

Papers
(The TQCC of Journal of Derivatives 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 2021-04-01 to 2025-04-01.)
ArticleCitations
On the Term Structure of VIX Futures’ Implied Convexity6
Biased Implied Volatilities and Dividend-Paying Stocks6
The Forecasting Power of Short-Term Options6
Semi-Analytical Pricing of Barrier Options in the Time-Dependent λ-SABR Model: Uncorrelated Case5
General Restrictions on Prices of Financial Derivatives Written on Underlying Diffusions5
Editor’s Letter4
Carr Memorial: Maximum Drawdown Derivatives to a Hitting Time4
A Model-Free Fourier Cosine Method for Estimating the Risk-Neutral Density3
Simplified Option Price Derivations3
Equity Portfolio Trading with Volatility and Dividend Derivatives3
Price Discovery in a New Futures Market: Micro E-Mini Index Futures2
Editor’s Letter2
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes2
Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process2
Editor’s Letter2
Modeling and Empirical Analysis of Option Pricing with Transaction Costs: A Sub-Mixed Fractional Brownian Motion Approach2
A Note on Variance Swap Greeks2
Application of Credit Derivatives in Portfolio Management1
50 Years On: Are Derivatives a “Product from Hell”? Historical Perspectives on 30 Cases of Derivatives Losses1
Cosine Willow Tree Structure under Lévy Processes with Application to Pricing Variance Derivatives1
Editor’s Letter1
Editor’s Letter1
SOFR Term Rates from Treasury Repo Pricing1
The Predictability of Coking Coal Futures Returns: A Perspective of Overreaction1
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models1
Option Pricing Models: From Black-Scholes-Merton to Present1
Deriving Better Second-Order Derivatives1
The Time Dimension of Volatility: Implications for Option Strategy Design1
Editor’s Letter1
Testing and Mapping an Empirical Exercise Boundary for the American Put Option1
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support1
LIBOR Reform: Option Pricing for Compounded Rates1
Editor’s Letter1
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