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Option trading
74
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58
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Review of derivatives research
The journal of futures markets
189
International journal of theoretical and applied finance
111
Journal of banking & finance
94
The journal of derivatives : the official publication of the International Association of Financial Engineers
86
The journal of computational finance
59
Applied mathematical finance
54
Quantitative finance
54
Finance research letters
53
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Journal of economic dynamics & control
47
Finance and stochastics
43
Journal of financial economics
41
The North American journal of economics and finance : a journal of financial economics studies
41
International review of economics & finance : IREF
34
Journal of financial markets
34
International journal of financial engineering
31
Journal of financial and quantitative analysis : JFQA
31
The review of financial studies
30
Working paper / National Bureau of Economic Research, Inc.
30
Computational economics
29
European journal of operational research : EJOR
29
Journal of mathematical finance
28
Research paper series / Swiss Finance Institute
27
Review of quantitative finance and accounting
27
NBER working paper series
26
International review of financial analysis
24
Management science : journal of the Institute for Operations Research and the Management Sciences
24
The European journal of finance
24
The journal of finance : the journal of the American Finance Association
24
Wiley trading series
23
Asia-Pacific financial markets
22
Applied economics
20
Applied financial economics
20
Risks : open access journal
20
NBER Working Paper
19
Swiss Finance Institute Research Paper
19
Journal of risk and financial management : JRFM
18
Annals of finance
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The journal of derivatives : JOD
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ECONIS (ZBW)
74
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1
Continuity correction : on the pricing of discrete double barrier options
Luo, Sheng-Feng
;
Wong, Hsin-Chieh
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 51-90
Persistent link: https://www.econbiz.de/10014266376
Saved in:
2
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
3
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
4
Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna
;
De Donno, Marzia
;
Gajda, Janusz
;
Sbuelz, …
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
Saved in:
5
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
6
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
7
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
8
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
9
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
10
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
Saved in:
11
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie
;
Fan, Liaoyuan
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
Saved in:
12
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Saved in:
13
Diversification with options and structured products
Yuan, Shuonan
;
Rieger, Marc Oliver
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10012498474
Saved in:
14
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
15
Conditional risk-neutral density from option prices by local polynomial Kernel smoothing with no-arbitrage constraints
Monteiro, Ana M.
;
Santos, Antonio A. F.
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10012229782
Saved in:
16
A note on options and bubbles under the CEV model : implications for pricing and hedging
Dias, José Carlos
;
Nunes, Joaõ Pedro Vidal
;
Cruz, Aricson
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 249-272
Persistent link: https://www.econbiz.de/10012303226
Saved in:
17
Option-implied information : what’s the vol surface got to do with it?
Ulrich, Maxim
;
Walther, Simon
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 323-355
Persistent link: https://www.econbiz.de/10012303253
Saved in:
18
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
19
Is trading in the shortest-term index options profitable?
Pan, Ging-Ginq
;
Shiu, Yung-Ming
;
Wu, Tu-Cheng
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 169-201
Persistent link: https://www.econbiz.de/10012311668
Saved in:
20
Valuation of an option using non-parametric methods
Chiang, Shu Ling
;
Tsai, Ming-shann
- In:
Review of derivatives research
22
(
2019
)
3
,
pp. 419-447
Persistent link: https://www.econbiz.de/10012311834
Saved in:
21
Risk-adjusted option-implied moments
Brinkmann, Felix
;
Korn, Olaf
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 149-173
Persistent link: https://www.econbiz.de/10012055736
Saved in:
22
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 175-199
Persistent link: https://www.econbiz.de/10012055737
Saved in:
23
Pricing exotic options in a regime switching economy : a Fourier transform method
Hieber, Peter
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10012055739
Saved in:
24
A bias in the volatility smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
25
Rainbow trend options : valuation and applications
Wang, Jr-Yan
;
Wang, Hsiao-Chuan
;
Ko, Yi-Chen
;
Hung, Mao-Wei
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 91-133
Persistent link: https://www.econbiz.de/10011935970
Saved in:
26
Implied volatility and skewness surface
Feunou, Bruno
;
Fontaine, Jean-Sébastien
;
Tédongap, Roméo
- In:
Review of derivatives research
20
(
2017
)
2
,
pp. 167-202
Persistent link: https://www.econbiz.de/10011935979
Saved in:
27
A unified approach for the pricing of options relating to averages
Funahashi, Hideharu
;
Kijima, Masaaki
- In:
Review of derivatives research
20
(
2017
)
3
,
pp. 203-229
Persistent link: https://www.econbiz.de/10011935995
Saved in:
28
Pricing double barrier options under a volatility regime-switching model with psychological barriers
Song, Shiyu
;
Wang, Yongjin
- In:
Review of derivatives research
20
(
2017
)
3
,
pp. 255-280
Persistent link: https://www.econbiz.de/10011936003
Saved in:
29
On the multiplicity of option prices under CEV with positive elasticity of variance
Veestraeten, Dirk
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011928028
Saved in:
30
Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie-Jane
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
Saved in:
31
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
Saved in:
32
Migrate or not? : the effects of regulation SHO on options trading activities
Li, Yubin
;
Zhao, Chen
;
Zhong, Zhaodong
- In:
Review of derivatives research
19
(
2016
)
2
,
pp. 113-146
Persistent link: https://www.econbiz.de/10011927960
Saved in:
33
Option pricing model with sentiment
Yang, Chunpeng
;
Gao, Bin
;
Yang, Jianlei
- In:
Review of derivatives research
19
(
2016
)
2
,
pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
Saved in:
34
Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos
;
Krause, Daniel
;
Zagst, Rudi
- In:
Review of derivatives research
19
(
2016
)
3
,
pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
Saved in:
35
Market making and risk management in options markets
Boyd, Naomi E.
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011414104
Saved in:
36
On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo
;
Lim, Hyuncheul
;
Lee, Sungchul
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
Saved in:
37
Are put-call ratios a substitute for short sales?
Blau, Benjamin
;
Brough, Tyler J.
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 51-73
Persistent link: https://www.econbiz.de/10011414109
Saved in:
38
The valuation and information content of options on crude-oil futures contracts
Murphy, Finbarr
;
Ronn, Ehud I.
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 95-106
Persistent link: https://www.econbiz.de/10011477287
Saved in:
39
The valuation of forward-start rainbow options
Chen, Chun-Ying
;
Wang, Hsiao-Chuan
;
Wang, Jr-Yan
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 145-188
Persistent link: https://www.econbiz.de/10011477296
Saved in:
40
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos
;
Hieber, Peter
;
Scherer, Matthias
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
Saved in:
41
Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Chan, Tat Lung
;
Hubbert, Simon
- In:
Review of derivatives research
17
(
2014
)
2
,
pp. 161-189
Persistent link: https://www.econbiz.de/10010529637
Saved in:
42
Path-dependent game options : a lookback case
Guo, Peidong
;
Chen, Qihong
;
Guo, Xicai
;
Fang, Yue
- In:
Review of derivatives research
17
(
2014
)
1
,
pp. 113-124
Persistent link: https://www.econbiz.de/10010519293
Saved in:
43
Valuation of American partial barrier options
Jun, Doobae
;
Ku, Hyejin
- In:
Review of derivatives research
16
(
2013
)
2
,
pp. 167-191
Persistent link: https://www.econbiz.de/10009774397
Saved in:
44
Local volatility of volatility for the VIX market
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
16
(
2013
)
3
,
pp. 267-293
Persistent link: https://www.econbiz.de/10010222940
Saved in:
45
On the primal-dual algorithm for callable Bermudan options
Mair, Maximilian L.
;
Maruhn, Jan H.
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 79-110
Persistent link: https://www.econbiz.de/10009729918
Saved in:
46
The performance of model based option trading strategies
Eraker, Bjørn
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
Saved in:
47
Analytical pricing of American options
Cheng, Jun
;
Zhang, Jin E.
- In:
Review of derivatives research
15
(
2012
)
2
,
pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
Saved in:
48
A remark on static hedging of options written on the last exit time
Imamura, Yuri
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 333-347
Persistent link: https://www.econbiz.de/10009349985
Saved in:
49
American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
Saved in:
50
The [beta]-variance gamma model
Schoutens, Wim
;
Van Damme, Geert
- In:
Review of derivatives research
14
(
2011
)
3
,
pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
Saved in:
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