Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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