Review of Derivatives Research

1999 - 2018

Current editor(s): Gurdip Bakshi and Dilip Madan

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Volume 21, issue 3, 2018

The pricing kernel puzzle in forward looking data pp. 253-276

Horatio Cuesdeanu and Jens Carsten Jackwerth

GARCH option pricing models with Meixner innovations pp. 277-305

Matthias Fengler and Alexander Melnikov

Dynamic hedging with futures: a copula-based GARCH model with high-frequency data pp. 307-329

Yu-Sheng Lai

An empirical investigation of large trader market manipulation in derivatives markets pp. 331-374

Robert Jarrow, Scott Fung and Shih-Chuan Tsai

Volume 21, issue 2, 2018

Risk-adjusted option-implied moments pp. 149-173

Felix Brinkmann and Olaf Korn

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions pp. 175-199

Johannes Gerer and Gregor Dorfleitner

The volatility target effect in structured investment products with capital protection pp. 201-229

Sergio Albeverio, Victoria Steblovskaya and Kai Wallbaum

Pricing exotic options in a regime switching economy: a Fourier transform method pp. 231-252

Peter Hieber

Volume 21, issue 1, 2018

A multivariate stochastic volatility model with applications in the foreign exchange market pp. 1-43

Marcos Escobar and Christoph Gschnaidtner

Did crisis alter trading of two major oil futures markets? pp. 45-61

Iman Adeinat, Naseem Al Rahahleh and Peihwang Wei

The determinants of CDS spreads: evidence from the model space pp. 63-118

Matthias Pelster and Johannes Vilsmeier

Tempered stable structural model in pricing credit spread and credit default swap pp. 119-148

Sung Ik Kim and Young Shin Kim

Volume 20, issue 3, 2017

A unified approach for the pricing of options relating to averages pp. 203-229

Hideharu Funahashi and Masaaki Kijima

Profitability patterns in the interest rate derivatives market pp. 231-254

Ralf Meyer

Pricing double barrier options under a volatility regime-switching model with psychological barriers pp. 255-280

Shiyu Song and Yongjin Wang

The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk pp. 281-308

Antje Mahayni and Matthias Muck

Volume 20, issue 2, 2017

Rainbow trend options: valuation and applications pp. 91-133

Jr-Yan Wang, Hsiao-Chuan Wang, Yi-Chen Ko and Mao-Wei Hung

A four-factor stochastic volatility model of commodity prices pp. 135-165

Max F. Schöne and Stefan Spinler

Implied volatility and skewness surface pp. 167-202

Bruno Feunou, Jean-Sébastien Fontaine and Roméo Tédongap

Volume 20, issue 1, 2017

On the multiplicity of option prices under CEV with positive elasticity of variance pp. 1-13

Dirk Veestraeten

Structural default model with mutual obligations pp. 15-46

Andrey Itkin and Alexander Lipton

A bias in the volatility smile pp. 47-90

Don M. Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy

Volume 19, issue 3, 2016

Stochastic covariance and dimension reduction in the pricing of basket options pp. 165-200

Marcos Escobar Anel, Daniel Krause and Rudi Zagst

On exact pricing of FX options in multivariate time-changed Lévy models pp. 201-216

Roman V. Ivanov and Katsunori Ano

The leverage effect puzzle: the case of European sovereign credit default swap market pp. 217-235

Agata Kliber

Volume 19, issue 2, 2016

Minimum return guarantees, investment caps, and investment flexibility pp. 85-111

Antje Mahayni and Judith C. Schneider

Migrate or not? The effects of regulation SHO on options trading activities pp. 113-146

Yubin Li, Chen Zhao and Zhaodong Zhong

Option pricing model with sentiment pp. 147-164

Chunpeng Yang, Bin Gao and Jianlei Yang

Volume 19, issue 1, 2016

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes pp. 1-39

Lorenzo Torricelli

Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options pp. 41-64

Lie-Jane Kao

Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? pp. 65-83

Jacinto Marabel Romo

Volume 18, issue 3, 2015

Do correlated defaults matter for CDS premia? An empirical analysis pp. 191-224

Christian Koziol, Philipp Koziol and Thomas Schön

Do CDS spreads move with commonality in liquidity? pp. 225-261

Christian Meine, Hendrik Supper and Gregor Weiß

A copula-based approach for generating lattices pp. 263-289

Tianyang Wang, James Dyer and Warren Hahn

A note on the pricing of multivariate contingent claims under a transformed-gamma distribution pp. 291-300

Luiz Vitiello and Ivonia Rebelo

Volume 18, issue 2, 2015

The valuation and information content of options on crude-oil futures contracts pp. 95-106

Finbarr Murphy and Ehud Ronn

Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option pp. 107-143

Andreas Rathgeber, David Rudolph and Stefan Stöckl

The valuation of forward-start rainbow options pp. 145-188

Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang

Erratum to: The valuation of forward-start rainbow options pp. 189-189

Chun-Ying Chen, Hsiao-Chuan Wang and Jr-Yan Wang

Volume 18, issue 1, 2015

Market making and risk management in options markets pp. 1-27

Naomi Boyd

On pricing options with stressed-beta in a reduced form model pp. 29-50

Geonwoo Kim, Hyuncheul Lim and Sungchul Lee

Are put-call ratios a substitute for short sales? pp. 51-73

Benjamin Blau and Tyler Brough

Commodity derivative valuation under a factor model with time-varying market prices of risk pp. 75-93

Andrés Mirantes, Javier Población and Gregorio Serna

Volume 17, issue 3, 2014

An overview of the valuation of collateralized derivative contracts pp. 261-286

Jean-Paul Laurent, Philippe Amzelek and Joe Bonnaud

The impact of quantitative easing on the US term structure of interest rates pp. 287-321

Robert Jarrow and Hao Li

The effects of corporate governance and accounting rule changes on derivatives usage pp. 323-353

Ching-Lung Chen, Hung-Shu Fan and Ya-Ming Yang

Volume 17, issue 2, 2014

A closed-form solution for options with ambiguity about stochastic volatility pp. 125-159

Gonçalo Faria and Joao Correia-da-Silva

Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme pp. 161-189

Ron Chan and Simon Hubbert

Efficiently pricing double barrier derivatives in stochastic volatility models pp. 191-216

Marcos Escobar Anel, Peter Hieber and Matthias Scherer

The price discovery of day trading activities in futures market pp. 217-239

Ming-Hsien Chen and Vivian Tai

Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing pp. 241-259

Luiz Vitiello and Ser-Huang Poon

Volume 17, issue 1, 2014

An analytical approach for systematic risk sensitivity of structured finance products pp. 1-37

Arndt Claußen, Sebastian Löhr and Daniel Rösch

Does modeling framework matter? A comparative study of structural and reduced-form models pp. 39-78

Yalin Gündüz and Marliese Uhrig-Homburg

Pricing average options under time-changed Lévy processes pp. 79-111

Akira Yamazaki

Path-dependent game options: a lookback case pp. 113-124

Peidong Guo, Qihong Chen, Xicai Guo and Yue Fang