Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 28, issue 1, 2025

Valuation of vulnerable options using a bivariate Gram–Charlier approximation pp. 1-30

Dingding Dong, Xinyue Ou and Xingchun Wang

Pricing of geometric Asian options in the Volterra-Heston model pp. 1-30

Florian Aichinger and Sascha Desmettre

Financial decision making under optimal control and Markov switching double exponential jump process pp. 1-34

Ons Triki and Fathi Abid

The impact of risk retention on the pricing of securitizations pp. 1-24

Martin Hibbeln and Werner Osterkamp

VIX maturity interpolation pp. 1-40

Torben G. Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez

Volume 27, issue 3, 2024

The interaction between equity-based compensation and debt in managerial risk choices pp. 227-258

Carlos Miguel Glória, José Carlos Dias, João Pedro Ruas and João Pedro Vidal Nunes

Pricing and hedging autocallable products by Markov chain approximation pp. 259-303

Yeda Cui, Lingfei Li and Gongqiu Zhang

Volume 27, issue 2, 2024

Simple is simply not enough—features versus labels of complex financial securities pp. 113-150

Martin Hibbeln and Werner Osterkamp

An affine model for short rates when monetary policy is path dependent pp. 151-201

Haitham A. Al-Zoubi

A two-factor structural model for valuing corporate securities pp. 203-225

Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif and Bruno Rémillard

Volume 27, issue 1, 2024

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle pp. 1-35

Maik Dierkes, Jan Krupski, Sebastian Schroen and Philipp Sibbertsen

Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility pp. 37-53

Yuecai Han and Fengtong Zhang

Pricing levered warrants under the CEV diffusion model pp. 55-84

Carlos Miguel Glória, José Carlos Dias and Aricson Cruz

Martingale defects in the volatility surface and bubble conditions in the underlying pp. 85-111

Philip Stahl and Jérôme Blauth

Volume 26, issue 2, 2023

Implied volatility surfaces: a comprehensive analysis using half a billion option prices pp. 135-169

Maxim Ulrich, Lukas Zimmer and Constantin Merbecks

Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model pp. 171-206

Frédéric Godin, Ramin Eghbalzadeh and Patrice Gaillardetz

Volume 26, issue 1, 2023

Interest rate swaps: a comparison of compounded daily versus discrete reference rates pp. 1-21

Robert Jarrow and Siguang Li

Pricing vulnerable basket spread options with liquidity risk pp. 23-50

Ziming Dong, Dan Tang and Xingchun Wang

Continuity correction: on the pricing of discrete double barrier options pp. 51-90

Sheng-Feng Luo and Hsin-Chieh Wong

Hedging cryptocurrency options pp. 91-133

Jovanka Matic, Natalie Packham and Wolfgang Karl Härdle

Volume 25, issue 3, 2022

Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach pp. 233-281

Pakorn Aschakulporn and Jin E. Zhang

CMS spread options in quadratic Gaussian model pp. 283-291

Parviz Rakhmonov and Firuz Rakhmonov

Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities pp. 293-314

Matthias Muck

Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index pp. 315-339

Philip Stahl

Volume 25, issue 2, 2022

Deep calibration of financial models: turning theory into practice pp. 109-136

Patrick Büchel, Michael Kratochwil, Maximilian Nagl and Daniel Rösch

The impact of non-cash collateralization on the over-the-counter derivatives markets pp. 137-171

Kazuhiro Takino

Oil futures volatility smiles in 2020: Why the bachelier smile is flatter pp. 173-187

Roza Galeeva and Ehud Ronn

A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation pp. 189-232

Jie Chen, Liaoyuan Fan, Lingfei Li and Gongqiu Zhang

Volume 25, issue 1, 2022

Valuing fade-in options with default risk in Heston–Nandi GARCH models pp. 1-22

Xingchun Wang

Optimal exercise of American put options near maturity: A new economic perspective pp. 23-46

Anna Battauz, Marzia De Donno, Janusz Gajda and Alessandro Sbuelz

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods pp. 47-91

Zonggang Ma, Chaoqun Ma and Zhijian Wu

Economic policy uncertainty and volatility of treasury futures pp. 93-107

Maojun Zhang, Yang Zhao and Jiangxia Nan

Volume 24, issue 3, 2021

Idiosyncratic volatility, option-based measures of informed trading, and investor attention pp. 197-220

Hannes Mohrschladt and Judith C. Schneider

Mean-variance hedging in the presence of estimation risk pp. 221-241

Wan-Yi Chiu

Pricing vulnerable options with jump risk and liquidity risk pp. 243-260

Xingchun Wang

Does model complexity improve pricing accuracy? The case of CoCos pp. 261-284

Christian Koziol and Sebastian Weitz

Volume 24, issue 2, 2021

The impact of the leverage effect on the implied volatility smile: evidence for the German option market pp. 95-133

A. W. Rathgeber, J. Stadler and S. Stöckl

A model-free approach to multivariate option pricing pp. 135-155

Carole Bernard, Oleg Bondarenko and Steven Vanduffel

Bayesian estimation of the stochastic volatility model with double exponential jumps pp. 157-172

Jinzhi Li

The value of power-related options under spectrally negative Lévy processes pp. 173-196

Jean-Philippe Aguilar

Volume 24, issue 1, 2021

Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes pp. 1-30

Gechun Liang and Xingchun Wang

Bermudan option in Singapore Savings Bonds pp. 31-54

Kian Guan Lim

Diversification with options and structured products pp. 55-77

Shuonan Yuan and Marc Oliver Rieger

Uncertain strike lookback options pricing with floating interest rate pp. 79-94

Lidong Zhang, Yanmei Sun, Ziping Du and Xiangbo Meng

Volume 23, issue 3, 2020

Portfolio construction using bootstrapping neural networks: evidence from global stock market pp. 227-247

Hsiao-Fen Hsiao, Jiang-Chuan Huang and Zheng-Wei Lin

A note on options and bubbles under the CEV model: implications for pricing and hedging pp. 249-272

José Carlos Dias, João Pedro Vidal Nunes and Aricson Cruz

Computing valuation adjustments for counterparty credit risk using a modified supervisory approach pp. 273-322

Patrick Büchel, Michael Kratochwil and Daniel Rösch

Option-implied information: What’s the vol surface got to do with it? pp. 323-355

Maxim Ulrich and Simon Walther

Volume 23, issue 2, 2020

The global minimum variance hedge pp. 121-144

Wan-Yi Chiu

A generalization of option pricing to price-limit markets pp. 145-161

Jia-Hau Guo and Lung-Fu Chang

Approaching rainfall-based weather derivatives pricing and operational challenges pp. 163-190

Andrea Martínez-Salgueiro and Maria-Antonia Tarrazon-Rodon

Yield curves from different bond data sets pp. 191-226

Antonio Díaz, Francisco Jareño and Eliseo Navarro

Volume 23, issue 1, 2020

Towards a $$\Delta $$Δ-Gamma Sato multivariate model pp. 1-39

Lynn Boen and Florence Guillaume

Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints pp. 41-61

Ana M. Monteiro and Antonio A. F. Santos

Valuing American-style options under the CEV model: an integral representation based method pp. 63-83

Aricson Cruz and José Carlos Dias

Time consistent pricing of options with embedded decisions pp. 85-119

G. Dorfleitner and J. Gerer