Volume 27, Issue 1 | Review of Derivatives Research

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Volume 27, Issue 1

April 2024

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4 articles in this issue

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
Maik Dierkes
Jan Krupski
Philipp Sibbertsen
OriginalPaper Open access 29 November 2023 Pages: 1 - 35
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
Yuecai Han
Fengtong Zhang
OriginalPaper 10 January 2024 Pages: 37 - 53
Pricing levered warrants under the CEV diffusion model
Carlos Miguel Glória
José Carlos Dias
Aricson Cruz
OriginalPaper Open access 11 January 2024 Pages: 55 - 84
Martingale defects in the volatility surface and bubble conditions in the underlying
Philip Stahl
Jérôme Blauth
OriginalPaper Open access 19 January 2024 Pages: 85 - 111