Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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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

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

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

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

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

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

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

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

Capital adequacy rules, catastrophic firm failure, and systemic risk pp. 219-231: Robert Jarrow
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices pp. 233-266: Costas Siriopoulos and Athanasios Fassas
Local volatility of volatility for the VIX market pp. 267-293: Gabriel Drimus and Walter Farkas
A lattice model for option pricing under GARCH-jump processes pp. 295-329: Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang and Ping-Da Wu

New solvable stochastic volatility models for pricing volatility derivatives pp. 111-134: Andrey Itkin
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques pp. 135-165: Susanne Griebsch
Valuation of American partial barrier options pp. 167-191: Doobae Jun and Hyejin Ku
How fair-value accounting can influence firm hedging pp. 193-217: Leif Beisland and Dennis Frestad

The performance of model based option trading strategies pp. 1-23: Bjørn Eraker
The αVG model for multivariate asset pricing: calibration and extension pp. 25-52: Florence Guillaume
Parametric modeling of implied smile functions: a generalized SVI model pp. 53-77: Bo Zhao and Stewart Hodges
On the primal-dual algorithm for callable Bermudan options pp. 79-110: Maximilian Mair and Jan Maruhn

The value of tradeability pp. 193-216: Marc Chesney and Alexander Kempf
Joint econometric modeling of spot electricity prices, forwards and options pp. 217-256: Alain Monfort and Olivier Féron
Liquidity and CDS premiums on European companies around the Subprime crisis pp. 257-281: Clothilde Lesplingart, Christophe Majois and Mikael Petitjean

Unifying exotic option closed formulas pp. 99-128: Carlos Veiga, Uwe Wystup and Manuel Esquível
Equilibrium exercise of European warrants pp. 129-156: Nikunj Kapadia and Gregory Willette
Analytical pricing of American options pp. 157-192: Jun Cheng and Jin Zhang

A call on art investments pp. 1-23: Roman Kraeussl and Christian Wiehenkamp
Delta-hedging correlation risk? pp. 25-56: Areski Cousin, Stéphane Crépey and Yu Kan
Calibration risk: Illustrating the impact of calibration risk under the Heston model pp. 57-79: Florence Guillaume and Wim Schoutens
Option pricing and hedging under a stochastic volatility Lévy process model pp. 81-97: Young Kim, Frank Fabozzi, Zuodong Lin and Svetlozar Rachev