Review of Derivatives Research

1999 - 2026

Current editor(s): Gurdip Bakshi and Dilip Madan

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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