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OpenAlex Citation Counts

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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 VXX option with default risk and positive volatility skew
Qunfang Bao, Shenghong Li, Donggeng Gong
European Journal of Operational Research (2012) Vol. 223, Iss. 1, pp. 246-255
Closed Access | Times Cited: 26

Showing 1-25 of 26 citing articles:

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Zhenyu Cui, Justin Kirkby, Duy Nguyen
European Journal of Operational Research (2017) Vol. 262, Iss. 1, pp. 381-400
Closed Access | Times Cited: 104
Regime-switching stochastic volatility model: estimation and calibration to VIX options
Stéphane Goutte, Amine Ismail, Huyên Pham
Applied Mathematical Finance (2017) Vol. 24, Iss. 1, pp. 38-75
Open Access | Times Cited: 59
Fifty years at the interface between financial modeling and operations research
Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò
European Journal of Operational Research (2025)
Closed Access
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
Operations Research Letters (2015) Vol. 43, Iss. 6, pp. 601-607
Closed Access | Times Cited: 19
Modeling VXX
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2018) Vol. 38, Iss. 8, pp. 958-976
Closed Access | Times Cited: 17
On moment non-explosions for Wishart-based stochastic volatility models
José Da Fonseca
European Journal of Operational Research (2016) Vol. 254, Iss. 3, pp. 889-894
Closed Access | Times Cited: 15
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
Option pricing and hedging in incomplete market driven by Normal Tempered Stable process with stochastic volatility
Chenxi Liang, Shenghong Li
Journal of Mathematical Analysis and Applications (2014) Vol. 423, Iss. 1, pp. 701-719
Open Access | Times Cited: 11
Pricing and risk management of interest rate swaps
Sovan Mitra, Paresh Date, Rogemar Mamon, et al.
European Journal of Operational Research (2012) Vol. 228, Iss. 1, pp. 102-111
Closed Access | Times Cited: 11
Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 7
Collective behavior and options volatility smile: An agent-based explanation
Renfu Li, Wei Zhang, Hai-Chuan Xu
Economic Modelling (2014) Vol. 39, pp. 232-239
Closed Access | Times Cited: 7
The risk premium that never was: A fair value explanation of the volatility spread
Richard McGee, Frank McGroarty
European Journal of Operational Research (2017) Vol. 262, Iss. 1, pp. 370-380
Open Access | Times Cited: 7
VIX derivatives, hedging and vol-of-vol risk
Andreas Kaeck, Norman Seeger
European Journal of Operational Research (2019) Vol. 283, Iss. 2, pp. 767-782
Open Access | Times Cited: 7
Joint calibration of VIX and VXX options: does volatility clustering matter?
Shan Lu
European Journal of Finance (2023), pp. 1-32
Open Access | Times Cited: 2
Modeling VXX under jump diffusion with stochastic long‐term mean
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 10, pp. 1508-1534
Closed Access | Times Cited: 5
VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK
Martino Grasselli, Lakshithe Wagalath
International Journal of Theoretical and Applied Finance (2020) Vol. 23, Iss. 05, pp. 2050033-2050033
Closed Access | Times Cited: 5
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps
Xiaoyu Tan, Cheng‐Xiang Wang, Wei Lin, et al.
Journal of Futures Markets (2020) Vol. 41, Iss. 4, pp. 439-457
Closed Access | Times Cited: 4
Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ 2 random variable
José Carlos Dias, João Pedro Vidal Nunes
European Journal of Operational Research (2017) Vol. 265, Iss. 2, pp. 559-570
Closed Access | Times Cited: 3
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
Annals of Operations Research (2023) Vol. 336, Iss. 1-2, pp. 3-26
Closed Access | Times Cited: 1
An Optimization Approach for pricing of Discrete European Call options Based on the Preference of Investors

Tehnicki vjesnik - Technical Gazette (2023) Vol. 30, Iss. 3
Open Access | Times Cited: 1
Financial volatility modeling with option-implied information and important macro-factors
Stavroula Yfanti, Menelaos Karanasos
Journal of the Operational Research Society (2021) Vol. 73, Iss. 9, pp. 2129-2149
Open Access | Times Cited: 2
VIX vs VXX: A Joint Analytical Framework
Martino Grasselli, Lakshithe Wagalath
SSRN Electronic Journal (2018)
Closed Access | Times Cited: 1
A General Framework for a Joint Calibration of VIX and VXX Options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
SSRN Electronic Journal (2020)
Open Access | Times Cited: 1
Specification analysis of VXX option pricing models under Lévy processes
Jiling Cao, Xinfeng Ruan, Shu Su, et al.
Journal of Futures Markets (2021) Vol. 41, Iss. 9, pp. 1456-1477
Closed Access | Times Cited: 1
Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence
José Da Fonseca, Yahua Xu
SSRN Electronic Journal (2017)
Closed Access
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