Review of Derivatives Research

1999 - 2025

Current editor(s): Gurdip Bakshi and Dilip Madan

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Impact of Divergent Consumer Confidence on Option Prices pp. 165-177: James Huang
The Dynamics of Implied Volatilities: A Common Principal Components Approach pp. 179-202: Matthias Fengler, Wolfgang Härdle and Christophe Villa
Price Discovery, Causality and Forecasting in the Freight Futures Market pp. 203-230: Manolis Kavussanos and Nikos Nomikos

Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks pp. 83-106: Hoi Wong and Yue Kwok
On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives pp. 107-128: Manuel Moreno and Javier Navas
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields pp. 129-155: Carl Chiarella and Oh Kwon

Banks' option to lend, interest rate sensitivity, and credit availability pp. 213-250: Iftekhar Hasan and Sudipto Sarkar
Valuation of commodity derivatives in a new multi-factor model pp. 251-271: Xuemin Yan
Convergence of numerical methods for valuing path-dependent options using interpolation pp. 273-314: P. Forsyth, K. Vetzal and R. Zvan

The pricing of Bermudan-style options on correlated assets pp. 127-151: Sandra Peterson and Richard Stapleton
Disagreement and equilibrium option trading volume pp. 153-179: Mark Cassano
Efficient, exact algorithms for asian options with multiresolution lattices pp. 181-203: Tian-Shyr Dai and Yuh-Dauh Lyuu

Variable Purchase Options pp. 219-230: John Handley
Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing pp. 231-262: Leif Andersen and Jesper Andreasen
Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices pp. 263-284: Gurupdesh Pandher
Dividend Forecast Biases in Index Option Valuation pp. 285-303: Don Chance, Raman Kumar and Don Rich

Efficient Option Replication in the Presence of Transactions Costs pp. 107-131: Lionel Martellini
Dynamic Volatility Trading Strategies in the Currency Option Market pp. 133-154: Dajiang Guo
Tighter Option Bounds from Multiple Exercise Prices pp. 155-188: Peter Ryan
Effects of Callable Feature on Early Exercise Policy pp. 189-211: Yue Kwok and Lixin Wu

Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity? pp. 215-236: Saikat Nandi
Interest rate option pricing with volatility humps pp. 237-262: Peter Ritchken and Iyuan Chuang
The Dynamics of the S&P 500 Implied Volatility Surface pp. 263-282: George Skiadopoulos, Stewart Hodges and Les Clewlow
American option valuation under stochastic interest rates pp. 283-307: San-Lin Chung

A universal lattice pp. 115-133: Ren-Raw Chen and Tyler Yang
Minimum option prices under decreasing absolute risk aversion pp. 135-156: Kamlesh Mathur and Peter Ritchken
Stochastic duration and fast coupon bond option pricing in multi-factor models pp. 157-181: Claus Munk
Options on the minimum or the maximum of two average prices pp. 183-204: Xueping Wu and Jin Zhang