Chen-Xu Li

Available identifiers

Publication	Date of Publication	Type
The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models	2024-10-28	Paper
Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms	2021-11-16	Paper
Closed-form implied volatility surfaces for stochastic volatility models with jumps	2021-03-24	Paper
Pricing and exercising American options: an asymptotic expansion approach	2019-11-21	Paper
Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model	2019-01-28	Paper
A closed-form expansion approach for pricing discretely monitored variance swaps	2018-09-28	Paper
Estimating jump-diffusions using closed-form likelihood expansions	2016-09-13	Paper
Bessel processes, stochastic volatility, and timer options	2016-02-22	Paper
Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models	2015-03-31	Paper
Closed-Form Expansion, Conditional Expectation, and Option Valuation	2014-07-11	Paper
Maximum-likelihood estimation for diffusion processes via closed-form density expansions	2013-09-25	Paper
Landau damping of collective mode in a quasi-one-dimensional repulsive Bose-Einstein condensate	2012-09-26	Paper

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