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 2020-04-01 to 2024-04-01.)
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 risk7
Diversification with options and structured products4
Valuing fade-in options with default risk in Heston–Nandi GARCH models3
Pricing vulnerable basket spread options with liquidity risk3
Idiosyncratic volatility, option-based measures of informed trading, and investor attention3
Hedging cryptocurrency options3
Does model complexity improve pricing accuracy? The case of CoCos2
The value of power-related options under spectrally negative Lévy processes2
A model-free approach to multivariate option pricing2
Optimal exercise of American put options near maturity: A new economic perspective2
Deep calibration of financial models: turning theory into practice2
Bayesian estimation of the stochastic volatility model with double exponential jumps2
The impact of the leverage effect on the implied volatility smile: evidence for the German option market2
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation1
Mean-variance hedging in the presence of estimation risk1
Continuity correction: on the pricing of discrete double barrier options1
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods1
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach1
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities1
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