Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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Distressed debt prices and recovery rate estimation pp. 171-204: Xin Guo, Robert Jarrow and Haizhi Lin
The cross-section of average delta-hedge option returns under stochastic volatility pp. 205-244: Alfredo Ibáñez
Leverage, options liabilities, and corporate bond pricing pp. 245-276: Henry Huang and Yildiray Yildirim

Making the best of best-of pp. 1-39: Tristan Guillaume
Stock options and managers’ incentives to cheat pp. 41-59: Marc Chesney and Rajna Gibson
Testing the martingale restriction for option implied densities pp. 61-81: Thomas Busch
Adaptive placement method on pricing arithmetic average options pp. 83-118: Tian-Shyr Dai, Jr-Yan Wang and Hui-Shan Wei
On improving the least squares Monte Carlo option valuation method pp. 119-151: Nelson Areal, Artur Rodrigues and Manuel Armada
Single name credit default swaptions meet single sided jump models pp. 153-169: Henrik Jönsson and Wim Schoutens

A model of discontinuous interest rate behavior, yield curves, and volatility pp. 205-225: Steven Heston
Discount curve construction with tension splines pp. 227-267: Leif Andersen

A new approach for option pricing under stochastic volatility pp. 87-150: Peter Carr and Jian Sun
Option pricing when correlations are stochastic: an analytical framework pp. 151-180: José Da Fonseca, Martino Grasselli and Claudio Tebaldi
Tax liens: a novel application of asset pricing theory pp. 181-204: Robert Jarrow and Vikrant Tyagi

Determinants of S&P 500 index option returns pp. 1-38: Charles Cao and Jingzhi Huang
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective pp. 39-58: Robert Jarrow and Amiyatosh Purnanandam
Modelling jumps in electricity prices: theory and empirical evidence pp. 59-85: Jan Seifert and Marliese Uhrig-Homburg

Fourier transformation and the pricing of average-rate derivatives pp. 187-212: Nengjiu Ju and Rui Zhong
Two-dimensional risk-neutral valuation relationships for the pricing of options pp. 213-237: Günter Franke, James Huang and Richard Stapleton
Static versus dynamic hedges: an empirical comparison for barrier options pp. 239-264: Bernd Engelmann, Matthias Fengler, Morten Nalholm and Peter Schwendner

Model misspecification analysis for bond options and Markovian hedging strategies pp. 109-135: Mireille Bossy, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre and Denis Talay
Valuation of vulnerable American options with correlated credit risk pp. 137-165: Lung-Fu Chang and Mao-Wei Hung
Seasonal and stochastic effects in commodity forward curves pp. 167-186: Svetlana Borovkova and Helyette Geman

Calibration and hedging under jump diffusion pp. 1-35: C. He, J. Kennedy, T. Coleman, P. Forsyth, Y. Li and K. Vetzal
Price discovery in the U.S. stock and stock options markets: A portfolio approach pp. 37-65: Richard Holowczak, Yusif Simaan and Liuren Wu
Valuing reload options pp. 67-105: Jonathan Ingersoll

An empirical comparison of GARCH option pricing models pp. 129-150: K. Hsieh and P. Ritchken
Stochastic dividend yields and derivatives pricing in complete markets pp. 151-175: Abraham Lioui
The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets pp. 177-198: James Doran and Ehud Ronn

Options with Constant Underlying Elasticity in Strikes pp. 67-83: Lloyd Blenman and Steven Clark
On the Upper Bound of a Call Option pp. 85-95: John Handley
Option Prices Under Generalized Pricing Kernels pp. 97-123: Bertram Düring and Erik Lüders

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation pp. 5-25: Vicky Henderson, David Hobson, Sam Howison and Tino Kluge
A Continuous Time Model to Price Commodity-Based Swing Options pp. 27-47: M. Dahlgren
Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis pp. 49-60: Mariano Cané de Estrada, Elsa Cortina, Constantino FontÁn and Javier Fiori

Hedging Long-Term Forwards with Short-Term Futures: A Two-Regime Approach pp. 185-212: Wolfgang Bühler, Olaf Korn and Rainer Schöbel
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models pp. 213-239: Markus Leippold and Zvi Wiener
The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests pp. 241-266: Manolis Kavussanos, Ilias Visvikis and David Menachof

A Model of the Convenience Yields in On-the-Run Treasuries pp. 79-97: Joseph A. Cherian, Eric Jacquier and Robert Jarrow
On the Information in the Interest Rate Term Structure and Option Prices pp. 99-127: Frank de Jong, Joost Driessen and Antoon Pelsser
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation pp. 129-168: Lars Stentoft
Pricing the Risks of Default: A Note on Madan and Unal pp. 169-173: Peter Grundke and Karl O. Riedel

Theory of Storage and the Pricing of Commodity Claims pp. 5-24: Martin J. Nielsen and Eduardo S. Schwartz
Option Pricing Bounds and the Elasticity of the Pricing Kernel pp. 25-51: James Huang
Lean Trees--A General Approach for Improving Performance of Lattice Models for Option Pricing pp. 53-72: Rainer Baule and Marco Wilkens

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