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 2020-04-01 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
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