## Review of Derivatives Research

 Short Title: Rev. Deriv. Res. Publisher: Springer US, New York, NY ISSN: 1380-6645; 1573-7144/e Online: http://link.springer.com/journal/volumesAndIssues/11147
 Documents Indexed: 251 Publications (since 1996) References Indexed: 206 Publications with 6,718 References.
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### Authors

 12 Jarrow, Robert Alan 4 Ritchken, Peter H. 4 Wang, Jr-Yan 4 Zhang, Jin E. 3 Drimus, Gabriel G. 3 Escobar, Marcos 3 Fengler, Matthias R. 3 Hodges, Stewart D. 3 Huang, James Kuodo 3 Hung, Mao-wei 3 Itkin, Andrey 3 Kijima, Masaaki 3 Madan, Dilip B. 3 Mahayni, Antje 3 Nunes, João Pedro Vidal 3 Pelsser, Antoon A. J. 3 Ronn, Ehud I. 3 Rösch, Daniel 3 Schwartz, Eduardo S. 3 Uhrig-Homburg, Marliese 3 Wang, Xingchun 2 Andersen, Leif B. G. 2 Bondarenko, Oleg 2 Büchel, Patrick 2 Carr, Peter Paul 2 Chance, Don M. 2 Chang, Lung-Fu 2 Cherian, Joseph A. 2 Chesney, Marc 2 Chiu, Wan-Yi 2 Clewlow, Les 2 Cruz, Aricson 2 Dai, Tian-Shyr 2 Das, Sanjiv Ranjan 2 Dias, José Carlos 2 Dorfleitner, Gregor 2 Düring, Bertram 2 Farkas, Walter 2 Forsyth, Peter A. 2 Gao, Bin 2 Gerer, Johannes 2 Gibson, Rajna 2 Guillaume, Florence 2 Guillaume, Tristan 2 Handley, John C. 2 Hieber, Peter 2 Ingersoll, Jonathan E. jun. 2 Kavussanos, Manolis G. 2 Korn, Olaf 2 Kratochwil, Michael 2 Kwok, Yue-Kuen 2 Li, Minqiang 2 Mück, Matthias 2 Rathgeber, Andreas W. 2 Rich, Don 2 Schneider, Judith C. 2 Schoutens, Wim 2 Stapleton, Richard C. 2 Stöckl, Stefan 2 Vetzal, Kenneth R. 2 Vitiello, Luiz 2 Wang, Hsiao-Chuan 2 Yildirim, Yildiray 2 Zagst, Rudi 1 Adeinat, Iman 1 Aguilar, Jean-Philippe 1 Ahn, Dong-Hyun 1 Al Rahahleh, Naseem 1 Albeverio, Sergio A. 1 Ammann, Manuel 1 Amzelek, Philippe 1 Andreasen, Jesper 1 Ano, Katsunori 1 Antonelli, Fabio 1 Areal, Nelson 1 Armada, Manuel Rocha 1 Aschakulporn, Pakorn 1 Auer, Benjamin R. 1 Battauz, Anna 1 Baule, Rainer 1 Beisland, Leif Atle 1 Benninga, Simon 1 Bernard, Carole L. 1 Bizid, Abdelhamid 1 Blenman, Lloyd P. 1 Boen, Lynn 1 Bonnaud, Joe 1 Borovkova, Svetlana 1 Bossy, Mireille 1 Branger, Nicole 1 Brinkmann, Felix 1 Brorsen, B. Wade 1 Bruand, Martin 1 Bühler, Wolfgang J. 1 Busch, Thomas 1 Camara, Antonio 1 Cao, Charles 1 Carverhill, Andrew P. 1 Cassano, Mark A. 1 Chalasani, Prasad ...and 311 more Authors
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### Fields

 251 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 32 Statistics (62-XX) 28 Probability theory and stochastic processes (60-XX) 12 Numerical analysis (65-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Computer science (68-XX) 1 Functions of a complex variable (30-XX) 1 Partial differential equations (35-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Operations research, mathematical programming (90-XX)

### Citations contained in zbMATH Open

160 Publications have been cited 1,452 times in 1,186 Documents Cited by Year
On Cox processes and credit risky securities. Zbl 1274.91459
Lando, David
1998
Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Zbl 1274.91398
Andersen, Leif; Andreasen, Jesper
2000
Electricity prices and power derivatives: evidence from the Nordic Power Exchange. Zbl 1064.91508
Lucia, Julio J.; Schwartz, Eduardo S.
2002
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2007
Pricing the risks of default. Zbl 1274.91426
1998
Option pricing using variance gamma Markov chains. Zbl 1064.91044
2002
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
2007
Assessing the least squares Monte-Carlo approach to American option valuation. Zbl 1080.91041
Stentoft, Lars
2004
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
2010
Exact solutions for bond and option prices with systematic jump risk. Zbl 1274.91448
Das, Sanjiv Ranjan; Foresi, Silverio
1996
Convergence of numerical methods for valuing path-dependent options using interpolation. Zbl 1089.91022
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
2002
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
The $$\alpha$$VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
2013
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives. Zbl 1059.91047
Moreno, Manuel; Navas, Javier F.
2003
Heterogeneity and option pricing. Zbl 1274.91198
Benninga, Simon; Mayshar, Joram
2000
Term structure modelling of defaultable bonds. Zbl 1274.91452
Schönbucher, Philipp J.
1998
The dynamics of implied volatilities: a common principal components approach. Zbl 1059.91038
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, Christophe
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields. Zbl 1037.60069
Chiarella, Carl; Kwon, Oh Kang
2003
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
Stochastic duration and fast coupon bond option pricing in multi-factor models. Zbl 1274.91431
Munk, Claus
1999
Valuation of commodity derivatives in a new multi-factor model. Zbl 1070.91014
Yan, Xuemin
2002
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
2010
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
2006
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
2010
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
Lean trees – a general approach for improving performance of lattice models for option pricing. Zbl 1080.91026
Baule, Rainer; Wilkens, Marco
2004
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
2005
The dynamics of the S&P 500 implied volatility surface. Zbl 1274.91488
Skiadopoulos, George; Hodges, Stewart; Clewlow, Les
1999
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
2008
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
2014
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
2014
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
2006
Credit events and the valuation of credit derivatives of basket type. Zbl 1274.91418
Kijima, Masaaki; Muromachi, Yukio
2000
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
2013
Theory of storage and the pricing of commodity claims. Zbl 1090.91029
Nielsen, Martin J.; Schwartz, Eduardo S.
2004
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
2011
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
2006
Valuing foreign exchange rate derivatives with a bounded exchange process. Zbl 1274.91415
Ingersoll, Jonathan E. jun.
1996
Valuation of a credit swap of the basket type. Zbl 1274.91417
Kijima, Masaaki
2000
Efficient, exact algorithms for Asian options with multiresolution lattices. Zbl 1054.91035
Dai, Tian-Shyr; Lyuu, Yuh-Dauh
2002
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks. Zbl 1059.91049
Wong, Hoi Ying; Kwok, Yue Kuen
2003
An alternative approach to the valuation of American options and applications. Zbl 1274.91419
Kim, In Joon; Yu, G. George
1996
A tractable yield-curve model that guarantees positive interest rates. Zbl 1274.91437
Pelsser, Antoon
1996
A refined binomial lattice for pricing American Asian options. Zbl 1274.91477
Chalasani, Prasad; Jha, Somesh; Egriboyun, Feyzullah; Varikooty, Ashok
1999
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
2009
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
2012
On the information in the interest rate term structure and option prices. Zbl 1080.91044
de Jong, Frank; Driessen, Joost; Pelsser, Antoon
2004
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
2011
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
2016
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
2005
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
2007
Dividend forecast biases in index option valuation. Zbl 1274.91405
Chance, Don M.; Kumar, Raman; Rich, Don
2000
Interest rate option pricing with volatility humps. Zbl 1274.91441
Ritchken, Peter; Chuang, Iyuan
1999
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
2009
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
2014
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
2018
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
2007
The valuation and behavior of Black-Scholes options subject to intertemporal default risk. Zbl 1274.91440
Rich, Don
1996
Option pricing using a binomial model with random time steps (A formal model of gamma hedging). Zbl 1274.91409
Dengler, Heike; Jarrow, Robert A.
1996
American stochastic volatility call option pricing: a lattice based approach. Zbl 1274.91411
Finucane, Thomas J.; Tomas, Michael J.
1996
Tighter option bounds from multiple exercise prices. Zbl 1274.91442
Ryan, Peter J.
2000
A universal lattice. Zbl 1274.91478
Chen, Ren-Raw; Yang, Tyler T.
1999
American option valuation under stochastic interest rates. Zbl 1274.91408
Chung, San-Lin
1999
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
2008
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
2016
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
2013
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
2009
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
2010
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
2006
Window double barrier options. Zbl 1065.91024
Guillaume, Tristan
2003
Variable purchase options. Zbl 1274.91413
Handley, John C.
2000
Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models. Zbl 1274.91450
Pang, Kin
1998
Options on the minimum or the maximum of two average prices. Zbl 1274.91446
Wu, Xueping; Zhang, Jin E.
1999
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
2016
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
2013
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
2014
A model of the convenience yields in on-the-run treasuries. Zbl 1080.91023
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A.
2004
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
2010
The $$\beta$$-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
2011
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
2005
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2007
Contingent claims on foreign assets following jump-diffusion processes. Zbl 1059.91053
Martzoukos, Spiros H.
2003
Discrete-time bond and option pricing for jump-diffusion processes. Zbl 1274.91479
Das, Sanjiv Ranjan
1996
Effects of callable feature on early exercise policy. Zbl 1274.91421
Kwok, Yue Kuen; Wu, Lixin
2000
Pricing of non-redundant derivatives in a complete market. Zbl 1274.91400
Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François
1998
An extended set of risk neutral valuation relationships for the pricing of contingent claims. Zbl 1274.91404
Camara, Antonio
1999
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
2010
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
2008
Pricing the risks of default: a note on Madan and Unal. Zbl 1089.91035
Grundke, Peter; Riedel, Karl O.
2004
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
2012
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
2005
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
2014
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
2018
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
2017
Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101
Zhao, Bo; Hodges, Stewart D.
2013
An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454
Zhang, Frank Xiaoling
2010
Impact of divergent consumer confidence on option prices. Zbl 1059.91041
Huang, James
2003
Deep calibration of financial models: turning theory into practice. Zbl 1495.91120
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; Rösch, Daniel
2022
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes. Zbl 1467.91201
Liang, Gechun; Wang, Xingchun
2021
A model-free approach to multivariate option pricing. Zbl 1470.91270
Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven
2021
Pricing vulnerable options with jump risk and liquidity risk. Zbl 1479.91419
Wang, Xingchun
2021
The global minimum variance hedge. Zbl 1446.91078
Chiu, Wan-Yi
2020
Towards a $$\Delta$$-Gamma Sato multivariate model. Zbl 1437.91425
Boen, Lynn; Guillaume, Florence
2020
Implied risk aversion: an alternative rating system for retail structured products. Zbl 1425.91432
Fink, Holger; Geissel, Sebastian; Sass, J.; Seifried, F. T.
2019
Empirical performance of reduced-form models for emission permit prices. Zbl 1425.91352
Hitzemann, Steffen; Uhrig-Homburg, Marliese
2019
Option-implied value-at-risk and the cross-section of stock returns. Zbl 1425.91430
Ammann, Manuel; Feser, Alexander
2019
A general closed form option pricing formula. Zbl 1414.91384
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter
2019
Pricing exotic options in a regime switching economy: a Fourier transform method. Zbl 1417.91553
Hieber, Peter
2018
Tempered stable structural model in pricing credit spread and credit default swap. Zbl 1417.91527
Kim, Sung Ik; Kim, Young Shin
2018
An empirical investigation of large trader market manipulation in derivatives markets. Zbl 1405.91625
Jarrow, Robert; Fung, Scott; Tsai, Shih-Chuan
2018
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. Zbl 1417.91501
Gerer, Johannes; Dorfleitner, Gregor
2018
A multivariate stochastic volatility model with applications in the foreign exchange market. Zbl 1417.91496
Escobar, Marcos; Gschnaidtner, Christoph
2018
The pricing kernel puzzle in forward looking data. Zbl 1405.91605
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
2018
Brinkmann, Felix; Korn, Olaf
2018
The volatility target effect in structured investment products with capital protection. Zbl 1417.91546
Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai
2018
Structural default model with mutual obligations. Zbl 1417.91556
Itkin, Andrey; Lipton, Alexander
2017
On the multiplicity of option prices under CEV with positive elasticity of variance. Zbl 1417.91515
Veestraeten, Dirk
2017
A unified approach for the pricing of options relating to averages. Zbl 1418.91512
Funahashi, Hideharu; Kijima, Masaaki
2017
A four-factor stochastic volatility model of commodity prices. Zbl 1417.91513
Schöne, Max F.; Spinler, Stefan
2017
A bias in the volatility smile. Zbl 1417.91494
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram
2017
Pricing double barrier options under a volatility regime-switching model with psychological barriers. Zbl 1418.91540
Song, Shiyu; Wang, Yongjin
2017
On exact pricing of FX options in multivariate time-changed Lévy models. Zbl 1349.91271
Ivanov, Roman V.; Ano, Katsunori
2016
Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options. Zbl 1345.91072
Kao, Lie-Jane
2016
Minimum return guarantees, investment caps, and investment flexibility. Zbl 1345.91013
Mahayni, Antje; Schneider, Judith C.
2016
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes. Zbl 1345.91075
Torricelli, Lorenzo
2016
Stochastic covariance and dimension reduction in the pricing of basket options. Zbl 1349.91305
Escobar, Marcos; Krause, Daniel; Zagst, Rudi
2016
Commodity derivative valuation under a factor model with time-varying market prices of risk. Zbl 1315.91072
Mirantes, Andrés G.; Población, Javier; Serna, Gregorio
2015
The valuation of forward-start rainbow options. Zbl 1315.91061
Chen, Chun-Ying; Wang, Hsiao-Chuan; Wang, J.-Y.
2015
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme. Zbl 1303.91189
Chan, Ron Tat Lung; Hubbert, Simon
2014
Pricing average options under time-changed Lévy processes. Zbl 1285.91134
Yamazaki, Akira
2014
A closed-form solution for options with ambiguity about stochastic volatility. Zbl 1303.91173
Faria, Gonçalo; Correia-da-Silva, João
2014
An overview of the valuation of collateralized derivative contracts. Zbl 1300.91050
Laurent, Jean-Paul; Amzelek, Philippe; Bonnaud, Joe
2014
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
2014
The impact of quantitative easing on the US term structure of interest rates. Zbl 1300.91054
Jarrow, Robert; Li, Hao
2014
Does modeling framework matter? A comparative study of structural and reduced-form models. Zbl 1285.91139
Gündüz, Yalin; Uhrig-Homburg, Marliese
2014
Path-dependent game options: a lookback case. Zbl 1285.91127
Guo, Peidong; Chen, Qihong; Guo, Xicai; Fang, Yue
2014
The $$\alpha$$VG model for multivariate asset pricing: calibration and extension. Zbl 1269.91100
Guillaume, Florence
2013
New solvable stochastic volatility models for pricing volatility derivatives. Zbl 1296.91263
Itkin, Andrey
2013
Local volatility of volatility for the VIX market. Zbl 1309.91106
Drimus, Gabriel; Farkas, Walter
2013
The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques. Zbl 1296.91262
Griebsch, Susanne A.
2013
Parametric modeling of implied smile functions: a generalized SVI model. Zbl 1269.91101
Zhao, Bo; Hodges, Stewart D.
2013
Valuation of American partial barrier options. Zbl 1296.91264
Jun, Doobae; Ku, Hyejin
2013
Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices. Zbl 1282.91261
Siriopoulos, Costas; Fassas, Athanasios
2013
A lattice model for option pricing under GARCH-jump processes. Zbl 1312.91088
Lin, Bing-Huei; Hung, Mao-Wei; Wang, Jr-Yan; Wu, Ping-Da
2013
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
2012
Analytical pricing of American options. Zbl 1256.91052
Cheng, Jun; Zhang, Jin E.
2012
Liquidity and CDS premiums on European companies around the subprime crisis. Zbl 1256.91064
Lesplingart, Clothilde; Majois, Christophe; Petitjean, Mikael
2012
Modelling default contagion using multivariate phase-type distributions. Zbl 1213.91140
Herbertsson, Alexander
2011
Foreign currency bubbles. Zbl 1213.91173
Jarrow, Robert A.; Protter, Philip
2011
The $$\beta$$-variance gamma model. Zbl 1232.91713
Schoutens, Wim; Damme, Geert Van
2011
A recombining lattice option pricing model that relaxes the assumption of lognormality. Zbl 1230.91178
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
2011
A remark on static hedging of options written on the last exit time. Zbl 1232.91667
Imamura, Yuri
2011
American options and callable bonds under stochastic interest rates and endogenous bankruptcy. Zbl 1235.91166
Vidal Nunes, João Pedro
2011
Pricing swaps and options on quadratic variation under stochastic time change models – discrete observations case. Zbl 1208.91146
Itkin, Andrey; Carr, Peter
2010
Exchange option pricing under stochastic volatility: a correlation expansion. Zbl 1202.91311
Antonelli, F.; Ramponi, A.; Scarlatti, S.
2010
A fast Fourier transform technique for pricing American options under stochastic volatility. Zbl 1202.91342
Zhylyevskyy, Oleksandr
2010
A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. Zbl 1231.91442
Li, Minqiang
2010
Pricing distressed CDOs with stochastic recovery. Zbl 1213.91158
Höcht, Stephan; Zagst, Rudi
2010
Analytical approximations for the critical stock prices of American options: a performance comparison. Zbl 1205.91159
Li, Minqiang
2010
An empirical analysis of alternative recovery risk models and implied recovery rates. Zbl 1231.91454
Zhang, Frank Xiaoling
2010
The cost of operational risk loss insurance. Zbl 1213.91090
Jarrow, Robert A.; Oxman, Jeff; Yildirim, Yildiray
2010
Convenience yields. Zbl 1202.91319
Jarrow, Robert A.
2010
A comparison of single factor Markov-functional and multi factor market models. Zbl 1213.91083
Pietersz, Raoul; Pelsser, Antoon
2010
Quadratic hedging in affine stochastic volatility models. Zbl 1168.91463
Kallsen, Jan; Vierthauer, Richard
2009
Option market making under inventory risk. Zbl 1168.91401
Stoikov, Sasha; Sağlam, Mehmet
2009
Asset pricing under information with stochastic volatility. Zbl 1175.91072
Düring, Bertram
2009
Auto-static for the people: risk-minimizing hedges of barrier options. Zbl 1187.91217
Siven, Johannes; Poulsen, Rolf
2009
A general framework for the derivation of asset price bounds: An application to stochastic volatility option models. Zbl 1175.91069
Bondarenko, Oleg; Longarela, Iñaki R.
2009
A tale of two volatilities. Zbl 1188.91228
2009
Microstructural biases in empirical tests of option pricing models. Zbl 1189.91223
Dennis, Patrick; Mayhew, Stewart
2009
Dynamic programming and mean-variance hedging with partial execution risk. Zbl 1168.91370
Matsumoto, Koichi
2009
On improving the least squares Monte Carlo option valuation method. Zbl 1163.91377
Areal, Nelson; Rodrigues, Artur; Armada, Manuel R.
2008
Distressed debt prices and recovery rate estimation. Zbl 1165.91370
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi
2008
Adaptive placement method on pricing arithmetic average options. Zbl 1163.91390
Dai, Tian-Shyr; Wang, Jr-Yan; Wei, Hui-Shan
2008
Single name credit default swaptions meet single sided jump models. Zbl 1163.91434
Jönsson, Henrik; Schoutens, Wim
2008
Making the best of best-of. Zbl 1163.91400
Guillaume, Tristan
2008
Leverage, options liabilities, and corporate bond pricing. Zbl 1165.91402
Huang, Hongming; Yildirim, Yildiray
2008
Option pricing when correlations are stochastic: an analytical framework. Zbl 1174.91006
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2007
A new approach for option pricing under stochastic volatility. Zbl 1140.91353
Carr, Peter; Sun, Jian
2007
Modelling jumps in electricity prices: theory and empirical evidence. Zbl 1151.91680
Seifert, Jan; Uhrig-Homburg, Marliese
2007
Discount curve construction with tension splines. Zbl 1151.91558
Andersen, Leif
2007
The valuation of a firm’s investment opportunities: a reduced form credit risk perspective. Zbl 1151.91515
Jarrow, R.; Purnanandam, A.
2007
Determinants of S&P 500 index option returns. Zbl 1151.91698
Cao, Charles; Huang, Jing-Zhi
2007
A model of discontinuous interest rate behavior, yield curves, and volatility. Zbl 1151.91668
Heston, Steven L.
2007
Calibration and hedging under jump diffusion. Zbl 1274.91414
He, C.; Kennedy, J. S.; Coleman, T. F.; Forsyth, P. A.; Li, Y.; Vetzal, K. R.
2006
Valuation of vulnerable American options with correlated credit risk. Zbl 1274.91406
Chang, Lung-Fu; Hung, Mao-Wei
2006
Static versus dynamic hedges: an empirical comparison for barrier options. Zbl 1153.91784
Engelmann, Bernd; Fengler, Matthias R.; Nalholm, Morten; Schwendner, Peter
2006
Seasonal and stochastic effects in commodity forward curves. Zbl 1274.91401
Borovkova, Svetlana; Geman, Helyette
2006
Two-dimensional risk-neutral valuation relationships for the pricing of options. Zbl 1154.91441
Franke, Guenter; Huang, James; Stapleton, Richard
2006
Model misspecification analysis for bond options and Markovian hedging strategies. Zbl 1274.91402
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; Pistre, Nathalie; Talay, Denis
2006
Price discovery in the U.S. stock and stock options markets: a portfolio approach. Zbl 1274.91383
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren
2006
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Zbl 1134.91423
Henderson, Vicky; Hobson, David; Howison, Sam; Kluge, Tino
2005
A continuous time model to price commodity-based swing options. Zbl 1134.91406
Dahlgren, M.
2005
An empirical comparison of GARCH option pricing models. Zbl 1201.91229
Hsieh, K. C.; Ritchken, P.
2005
Stochastic dividend yields and derivatives pricing in complete markets. Zbl 1201.91204
Lioui, Abraham
2005
Option prices under generalized pricing kernels. Zbl 1108.91039
Düring, Bertram; Lüders, Erik
2005
...and 60 more Documents
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### Cited by 1,718 Authors

 18 Madan, Dilip B. 14 Benth, Fred Espen 14 Chiarella, Carl 11 Oosterlee, Cornelis Willebrordus 10 Elliott, Robert James 10 Escobar, Marcos 10 Grasselli, Martino 10 Lyuu, Yuh-Dauh 9 Kwok, Yue-Kuen 9 Siu, Tak Kuen 9 Wang, Xingchun 8 Carr, Peter Paul 8 Da Fonseca, José 8 Filipović, Damir 8 Jarrow, Robert Alan 8 Liang, Jin 8 Zagst, Rudi 7 Ballestra, Luca Vincenzo 7 Biagini, Francesca 7 Company, Rafael 7 Cui, Zhenyu 7 Düring, Bertram 7 Forsyth, Peter A. 7 Gómez-Valle, Lourdes 7 Itkin, Andrey 7 Ivanov, Roman V. 7 Jeanblanc, Monique 7 Kim, Geonwoo 7 Martínez-Rodríguez, Julia 7 Tunaru, Radu S. 7 Wang, Guojing 6 Dai, Tian-Shyr 6 Härdle, Wolfgang Karl 6 Jódar Sanchez, Lucas Antonio 6 Kim, Jeong-Hoon 6 Lipton, Alexander 6 Mariani, Maria Cristina 6 Mehrdoust, Farshid 6 Nikitopoulos Sklibosios, Christina 6 Pelsser, Antoon A. J. 6 Wong, Hoi Ying 6 Ye, Zhongxing 5 Buchmann, Boris 5 Costabile, Massimo 5 Deelstra, Griselda 5 Dong, Yinghui 5 Fusai, Gianluca 5 Geman, Hélyette 5 Guillaume, Florence 5 He, Xinjiang 5 Hinz, Juri 5 Jun, Doobae 5 Kadalbajoo, Mohan K. 5 Kallsen, Jan 5 Kumar, Alpesh 5 Leung, Tim 5 Li, Lingfei 5 Liang, Xue 5 Ma, Yong-Ki 5 Massabó, Ivar 5 Platen, Eckhard 5 Ramponi, Alessandro 5 Russo, Emilio 5 Schoutens, Wim 5 Tangman, Désiré Yannick 5 Toivanen, Jari 5 Tripathi, Lok Pati 5 Yamazaki, Akira 5 Zheng, Wendong 4 Antonelli, Fabio 4 Badescu, Alexandru M. 4 Bender, Christian 4 Bernard, Carole L. 4 Biffis, Enrico 4 Boen, Lynn 4 Çetin, Umut 4 Chiu, Mei Choi 4 Dai, Min 4 Das, Sanjiv Ranjan 4 Fabozzi, Frank J. 4 Fakharany, M. 4 Giesecke, Kay 4 Gnoatto, Alessandro 4 Hieber, Peter 4 Kijima, Masaaki 4 Ku, Hyejin 4 Kyriakou, Ioannis 4 le Courtois, Olivier 4 Li, Shenghong 4 Lian, Guanghua 4 Lorig, Matthew J. 4 Lu, Kevin W. 4 Marazzina, Daniele 4 Mayerhofer, Eberhard 4 Meyer-Brandis, Thilo 4 Millossovich, Pietro 4 Nunes, João Pedro Vidal 4 Pacelli, Graziella 4 Poulsen, Rolf 4 Protter, Philip Elliott ...and 1,618 more Authors
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### Cited in 184 Journals

 135 Quantitative Finance 78 International Journal of Theoretical and Applied Finance 76 Review of Derivatives Research 54 Journal of Computational and Applied Mathematics 47 European Journal of Operational Research 46 Applied Mathematical Finance 44 Insurance Mathematics & Economics 38 Journal of Economic Dynamics & Control 35 Finance and Stochastics 34 Mathematical Finance 20 Applied Mathematics and Computation 19 SIAM Journal on Financial Mathematics 17 International Journal of Computer Mathematics 17 Asia-Pacific Financial Markets 16 Stochastic Processes and their Applications 15 Mathematics and Financial Economics 14 Physica A 14 Annals of Operations Research 14 Discrete Dynamics in Nature and Society 14 Decisions in Economics and Finance 13 Applied Numerical Mathematics 12 The Annals of Applied Probability 11 Journal of Econometrics 9 Computers & Mathematics with Applications 9 Journal of Mathematical Analysis and Applications 9 Mathematical Methods of Operations Research 8 Chaos, Solitons and Fractals 8 Abstract and Applied Analysis 8 Methodology and Computing in Applied Probability 8 Computational Management Science 7 Journal of Applied Probability 7 Computers & Operations Research 7 Applied Mathematics. Series B (English Edition) 7 North American Actuarial Journal 7 Journal of Industrial and Management Optimization 7 Annals of Finance 6 Advances in Applied Probability 6 Mathematics and Computers in Simulation 6 Stochastic Analysis and Applications 6 Computational Statistics and Data Analysis 6 Applied Stochastic Models in Business and Industry 5 Japan Journal of Industrial and Applied Mathematics 5 Communications in Statistics. Theory and Methods 5 Communications in Nonlinear Science and Numerical Simulation 5 Scandinavian Actuarial Journal 5 Journal of Applied Mathematics 5 Stochastic Models 4 SIAM Journal on Control and Optimization 4 SIAM Journal on Scientific Computing 4 Probability in the Engineering and Informational Sciences 4 Journal of Systems Science and Complexity 4 ASTIN Bulletin 4 Stochastics 3 Journal of Optimization Theory and Applications 3 Mathematics of Operations Research 3 Numerische Mathematik 3 Operations Research 3 Statistics & Probability Letters 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Statistics. Simulation and Computation 3 Bernoulli 3 Mathematical Problems in Engineering 3 Soft Computing 3 Studies in Nonlinear Dynamics and Econometrics 3 Stochastics and Dynamics 3 Journal of the Korean Statistical Society 3 East Asian Mathematical Journal 3 International Journal of Stochastic Analysis 3 European Actuarial Journal 2 Lithuanian Mathematical Journal 2 Metrika 2 Calcolo 2 Journal of Differential Equations 2 Journal of Economic Theory 2 Journal of Mathematical Economics 2 Journal of Multivariate Analysis 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 SIAM Journal on Numerical Analysis 2 Econometric Reviews 2 Numerical Methods for Partial Differential Equations 2 European Journal of Applied Mathematics 2 Computational Statistics 2 Linear Algebra and its Applications 2 Computational Economics 2 Electronic Communications in Probability 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Journal of Inequalities and Applications 2 The ANZIAM Journal 2 Nonlinear Analysis. Real World Applications 2 Advances in Difference Equations 2 Asian Journal of Control 2 Mathematical Control and Related Fields 2 East Asian Journal on Applied Mathematics 2 Journal of Function Spaces 1 Acta Informatica 1 Applicable Analysis 1 Indian Journal of Pure & Applied Mathematics 1 Information Processing Letters ...and 84 more Journals
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### Cited in 29 Fields

 1,085 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 487 Probability theory and stochastic processes (60-XX) 177 Statistics (62-XX) 177 Numerical analysis (65-XX) 73 Partial differential equations (35-XX) 66 Operations research, mathematical programming (90-XX) 51 Systems theory; control (93-XX) 17 Integral equations (45-XX) 17 Calculus of variations and optimal control; optimization (49-XX) 14 Integral transforms, operational calculus (44-XX) 11 Statistical mechanics, structure of matter (82-XX) 10 Approximations and expansions (41-XX) 9 Computer science (68-XX) 6 Operator theory (47-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Biology and other natural sciences (92-XX) 4 Special functions (33-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Real functions (26-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Measure and integration (28-XX) 2 Ordinary differential equations (34-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Functional analysis (46-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Relativity and gravitational theory (83-XX) 1 Geophysics (86-XX)