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OpenAlex is a bibliographic catalogue of scientific papers, authors and institutions accessible in open access mode, named after the Library of Alexandria. It's citation coverage is excellent and I hope you will find utility in this listing of citing articles!

If you click the article title, you'll navigate to the article, as listed in CrossRef. If you click the Open Access links, you'll navigate to the "best Open Access location". Clicking the citation count will open this listing for that article. Lastly at the bottom of the page, you'll find basic pagination options.

Requested Article:

Pricing VIX options with stochastic volatility and random jumps
Guanghua Lian, Song‐Ping Zhu
Decisions in Economics and Finance (2011) Vol. 36, Iss. 1, pp. 71-88
Closed Access | Times Cited: 73

Showing 1-25 of 73 citing articles:

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Chris Bardgett, Elise Gourier, Markus Leippold
Journal of Financial Economics (2018) Vol. 131, Iss. 3, pp. 593-618
Open Access | Times Cited: 136
Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Jan Baldeaux, Alexander Badran
Applied Mathematical Finance (2014) Vol. 21, Iss. 4, pp. 299-312
Closed Access | Times Cited: 80
Joint pricing of VIX and SPX options with stochastic volatility and jump models
Thomas Kokholm, Martin Stisen
The Journal of Risk Finance (2015) Vol. 16, Iss. 1, pp. 27-48
Closed Access | Times Cited: 50
Smiling twice: The Heston++ model
Claudio Pacati, Gabriele Pompa, Roberto Renò
Journal of Banking & Finance (2018) Vol. 96, pp. 185-206
Open Access | Times Cited: 42
Skewness and option prices under stochastic volatility models: the role of shot-noise jumps
Wei Lin, Pakorn Aschakulporn, Yifan Ye, et al.
European Journal of Finance (2025), pp. 1-28
Closed Access
Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices
Sun‐Yong Choi, Changsoo Hong
PLoS ONE (2020) Vol. 15, Iss. 5, pp. e0232508-e0232508
Open Access | Times Cited: 25
VIX forecasting and variance risk premium: A new GARCH approach
Qiang Liu, Shuxin Guo, Gaoxiu Qiao
The North American Journal of Economics and Finance (2015) Vol. 34, pp. 314-322
Closed Access | Times Cited: 28
Valuation of VIX and target volatility options with affine GARCH models
Hongkai Cao, Alexandru Badescu, Zhenyu Cui, et al.
Journal of Futures Markets (2020) Vol. 40, Iss. 12, pp. 1880-1917
Closed Access | Times Cited: 18
Volatility swaps and volatility options on discretely sampled realized variance
Guanghua Lian, Carl Chiarella, Petko S. Kalev
Journal of Economic Dynamics and Control (2014) Vol. 47, pp. 239-262
Closed Access | Times Cited: 20
Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model
Wei Lin, Shenghong Li, Xingguo Luo, et al.
Journal of Mathematical Analysis and Applications (2016) Vol. 447, Iss. 2, pp. 778-797
Open Access | Times Cited: 19
Instantaneous squared VIX and VIX derivatives
Xingguo Luo, Jin E. Zhang, Wenjun Zhang
Journal of Futures Markets (2019) Vol. 39, Iss. 10, pp. 1193-1213
Closed Access | Times Cited: 19
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
Jun Cheng, Meriton Ibraimi, Markus Leippold, et al.
Journal of Economic Dynamics and Control (2012) Vol. 36, Iss. 5, pp. 708-715
Closed Access | Times Cited: 18
Pricing VIX options with realized volatility
Chen Tong, Zhuo Huang
Journal of Futures Markets (2021) Vol. 41, Iss. 8, pp. 1180-1200
Closed Access | Times Cited: 12
The implied volatility smirk in the VXX options market
Sebastian A. Gehricke, Jin E. Zhang
Applied Economics (2019) Vol. 52, Iss. 8, pp. 769-788
Closed Access | Times Cited: 12
A Journey into the Dark Arts of Quantitative Finance
David Sloth
SSRN Electronic Journal (2013)
Open Access | Times Cited: 11
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Bo Jing, Shenghong Li, Yong Ma
The North American Journal of Economics and Finance (2020) Vol. 56, pp. 101326-101326
Closed Access | Times Cited: 11
Orthogonal expansions for VIX options under affine jump diffusions
Andrea Barletta, Elisa Nicolato
Quantitative Finance (2017) Vol. 18, Iss. 6, pp. 951-967
Closed Access | Times Cited: 10
VIX-linked fees for GMWBs via explicit solution simulation methods
Michael A. Kouritzin, Anne MacKay
Insurance Mathematics and Economics (2018) Vol. 81, pp. 1-17
Open Access | Times Cited: 10
Pricing VIX options with volatility clustering
Bo Jing, Shenghong Li, Yong Ma
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 928-944
Closed Access | Times Cited: 10
Variance and skew risk premiums for the volatility market: The VIX evidence
José Da Fonseca, Yahua Xu
Journal of Futures Markets (2018) Vol. 39, Iss. 3, pp. 302-321
Closed Access | Times Cited: 10
The Impact of Jump Distributions on the Implied Volatility of Variance
Elisa Nicolato, Cosimo Pisani, David Sloth
SIAM Journal on Financial Mathematics (2017) Vol. 8, Iss. 1, pp. 28-53
Closed Access | Times Cited: 10
Setting the VIX Free: A Generalized Affine GARCH Model
Marcos Escobar, Lars Stentoft, Xize Ye
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 3
Pricing volatility options under stochastic skew with application to the VIX index
Jacinto Marabel Romo
European Journal of Finance (2015) Vol. 23, Iss. 4, pp. 353-374
Closed Access | Times Cited: 7
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
Ivan Guo, Grégoire Loeper
Journal of Optimization Theory and Applications (2017) Vol. 179, Iss. 2, pp. 598-617
Closed Access | Times Cited: 7
Smiling Twice: The Heston++ Model
Claudio Pacati, Gabriele Pompa, Roberto Renò
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 5
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