Chen-Xu Li

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models Journal of Business and Economic Statistics	2024-10-28	Paper
Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms Journal of Economic Dynamics and Control	2021-11-16	Paper
Closed-form implied volatility surfaces for stochastic volatility models with jumps Journal of Econometrics	2021-03-24	Paper
Pricing and exercising American options: an asymptotic expansion approach Journal of Economic Dynamics and Control	2019-11-21	Paper
Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model European Journal of Operational Research	2019-01-28	Paper
A closed-form expansion approach for pricing discretely monitored variance swaps Operations Research Letters	2018-09-28	Paper
Estimating jump-diffusions using closed-form likelihood expansions Journal of Econometrics	2016-09-13	Paper
Bessel processes, stochastic volatility, and timer options Mathematical Finance	2016-02-22	Paper
Closed-form expansions of discretely monitored Asian options in diffusion models Mathematics of Operations Research	2015-03-31	Paper
Closed-form expansion, conditional expectation, and option valuation Mathematics of Operations Research	2014-07-11	Paper
Maximum-likelihood estimation for diffusion processes via closed-form density expansions The Annals of Statistics	2013-09-25	Paper
Maximum-likelihood estimation for diffusion processes via closed-form density expansions The Annals of Statistics	2013-09-25	Paper
Landau damping of collective mode in a quasi-one-dimensional repulsive Bose-Einstein condensate Communications in Theoretical Physics	2012-09-26	Paper

Research outcomes over time

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