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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:

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

Showing 1-25 of 42 citing articles:

Volatility is (mostly) path-dependent
Julien Guyon, Jordan Lekeufack
Quantitative Finance (2023) Vol. 23, Iss. 9, pp. 1221-1258
Closed Access | Times Cited: 36
Joint calibration to SPX and VIX options with signature‐based models
Christa Cuchiero, Guido Gazzani, Janka Möller, et al.
Mathematical Finance (2024)
Open Access | Times Cited: 11
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
Mathematical Finance (2024) Vol. 34, Iss. 4, pp. 1197-1241
Open Access | Times Cited: 9
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Sigurd Emil Rømer
Quantitative Finance (2022) Vol. 22, Iss. 10, pp. 1805-1838
Open Access | Times Cited: 28
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
Xin‐Jiang He, Wenting Chen
Mathematics and Financial Economics (2020) Vol. 15, Iss. 2, pp. 381-396
Closed Access | Times Cited: 44
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration
Bing Dong, Wei Xu, Zhenyu Cui
Journal of Futures Markets (2025)
Open Access
Pricing and calibration in the 4-factor path-dependent volatility model
Guido Gazzani, Julien Guyon
Quantitative Finance (2025), pp. 1-19
Closed Access
Joint Modeling and Calibration of SPX and VIX by Optimal Transport
Ivan Guo, Grégoire Loeper, Jan Obłój, et al.
SIAM Journal on Financial Mathematics (2022) Vol. 13, Iss. 1, pp. 1-31
Closed Access | Times Cited: 16
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Julien Guyon
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 26
Inversion of convex ordering in the VIX market
Julien Guyon
Quantitative Finance (2020) Vol. 20, Iss. 10, pp. 1597-1623
Closed Access | Times Cited: 20
GARCH option pricing with volatility derivatives
Dong Hwan Oh, Yang‐Ho Park
Journal of Banking & Finance (2022) Vol. 146, pp. 106718-106718
Closed Access | Times Cited: 12
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
Julien Guyon
SIAM Journal on Financial Mathematics (2022) Vol. 13, Iss. 4, pp. 1418-1485
Closed Access | Times Cited: 12
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, et al.
European Journal of Operational Research (2020) Vol. 293, Iss. 1, pp. 336-360
Open Access | Times Cited: 16
Volatility Is (Mostly) Path-Dependent
Julien Guyon, Jordan Lekeufack
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 9
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Julien Guyon
Finance and Stochastics (2023) Vol. 28, Iss. 1, pp. 27-79
Closed Access | Times Cited: 5
Pricing and Calibration in the 4-Factor Path-Dependent Volatility Model
Guido Gazzani, Julien Guyon
(2024)
Open Access | Times Cited: 1
Change of measure in a Heston–Hawkes stochastic volatility model
David Baños, Salvador Ortiz-Latorre, Oriol Zamora Font
Advances in Applied Probability (2024) Vol. 56, Iss. 4, pp. 1370-1399
Open Access | Times Cited: 1
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
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
arXiv (Cornell University) (2020)
Closed Access | Times Cited: 8
Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching
Sha Lin, Xin‐Jiang He
Computational Economics (2021) Vol. 59, Iss. 3, pp. 1069-1085
Closed Access | Times Cited: 8
Dispersion-Constrained Martingale Schrödinger Bridges: Joint Entropic Calibration of Stochastic Volatility Models to S&P 500 and VIX Smiles
Julien Guyon
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 5
Neural Joint S&P 500/VIX Smile Calibration
Julien Guyon, Scander Mustapha
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 5
Approximate option pricing under a two-factor Heston–Kou stochastic volatility model
Youssef El‐Khatib, Zororo S. Makumbe, Josep Vives
Computational Management Science (2023) Vol. 21, Iss. 1
Open Access | Times Cited: 2
GARCH pricing and hedging of VIX options
Qiang Liu, Yuhan Jiao, Shuxin Guo
Journal of Futures Markets (2022) Vol. 42, Iss. 6, pp. 1039-1066
Closed Access | Times Cited: 4
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Ivan Guo, Grégoire Loeper, Jan Obłój, et al.
SSRN Electronic Journal (2020)
Open Access | Times Cited: 4
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