Concepedia
Statistics
Publications
12
Citations
428
H-Index
Active since
2013
Affiliations
Peking University(Current)
Princeton University
Renmin University of China
Stanford University
Chenxu Li is an author at Peking University specializing in business, asset pricing, and option pricing.
Top concepts
BusinessAsset PricingOption PricingEngineeringStochastic CalculusStatisticsMultivariate Stochastic VolatilityFinanceVolatility ModelingStochastic Processes
Publications per year
2013–2022
Maximum-likelihood estimation for diffusion processes via closed-form density expansions
Chenxu Li · The Annals of Statistics · 2013 · 76 citations · Full text
Implied Stochastic Volatility Models
Yacine Aı̈t-Sahalia, Chenxu Li, Chen Xu Li · Review of Financial Studies · 2020 · 60 citations
Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +15
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Yacine Aı̈t-Sahalia, Chenxu Li, Chen Xu Li · Journal of Econometrics · 2020 · 51 citations
Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +8
Closed-Form Expansion, Conditional Expectation, and Option Valuation
Chenxu Li · Mathematics of Operations Research · 2013 · 48 citations
Option Pricing, Engineering, Asset Pricing +12
Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
Ning Cai, Chenxu Li, Chao Shi · Mathematics of Operations Research · 2013 · 43 citations
Economics, Option Pricing, Asset Pricing +12
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