Concepedia

Derivative Pricing

Derivative Pricing is the academic concept within quantitative finance that determines the fair value of a financial derivative by calculating the expected present value of its future cash flows under a risk-neutral probability measure.

856

Publications

65K

Citations

1.3K

Authors

670

Institutions

Publications per year

2017–2026

134

Variants

Derivative ValuationDerivatives Pricing

Parents

Children

Publications

856

“Options, Futures, and Other Derivatives”

AMBER – ABBS Management Business and Entrepreneurship Review · 2016 · 5.2K citations · Full text

, , +11

A new definition of fractional derivative

Roshdi Khalil, Mohammed Al Horani, A. Yousef et al. · Journal of Computational and Applied Mathematics · 2014 · 3.4K citations

, , +3

Pricing Derivatives on Financial Securities Subject to Credit Risk

Robert A. Jarrow, Stuart M. Turnbull · The Journal of Finance · 1995 · 2K citations

, , +17

Options, Futures, and Other Derivative Securities.

Gerald D. Gay, John Hull · The Journal of Finance · 1990 · 1.2K citations

, , +17

A Caputo fractional derivative of a function with respect to another function

Ricardo Almeida · Communications in Nonlinear Science and Numerical Simulation · 2016 · 1.2K citations · Full text

, , +3

1–5 of 856

Authors

1.3K

  1. EP
    Eckhard Platen

    University of Technology Sydney, Australia

    11 publications · 257 citations

    10

    h-index

  2. MH
    Marc Henrard

    University College London, United Kingdom

    8 publications · 269 citations

    8

    h-index

  3. RS
    Ronnie Sircar

    Princeton University, United States

    7 publications · 291 citations

    7

    h-index

  4. RA
    Robert A. Jarrow

    Cornell University, United States

    6 publications · 2.7K citations

    6

    h-index

  5. SZ
    Song‐Ping Zhu

    University of Wollongong, Australia

    5 publications · 268 citations

    6

    h-index

1–5 of 1.3K

Institutions

670

  1. University of Waterloo

    Waterloo, Canada

    12 h-index

    22 publications

    1K citations

  2. University of Technology Sydney

    Sydney, Australia

    12 h-index

    18 publications

    443 citations

  3. University of Oxford

    Oxford, United Kingdom

    12 h-index

    18 publications

    1K citations

  4. The University of Melbourne

    Melbourne, Australia

    11 h-index

    17 publications

    429 citations

  5. Columbia University

    New York, United States

    11 h-index

    16 publications

    2.3K citations

  6. University of Toronto

    Toronto, Canada

    10 h-index

    20 publications

    578 citations

  7. National Bureau of Economic Research

    Cambridge, United States

    10 h-index

    10 publications

    514 citations

  8. University College London

    London, United Kingdom

    10 h-index

    9 publications

    210 citations

1–8 of 670

Venues

  1. SSRN Electronic Journal

    Repository · 94 publications · 3K citations

    31

    h-index

  2. Quantitative Finance

    33 publications · 2K citations

    22

    h-index

  3. Mathematical Finance

    24 publications · 2.8K citations

    20

    h-index

  4. The Journal of Finance

    19 publications · 7.3K citations

    19

    h-index

  5. Journal of Futures Markets

    23 publications · 1K citations

    19

    h-index

1–5