| Maximum-likelihood estimation for diffusion processes via closed-form density expansions C Li The Annals of Statistics, 1350-1380, 2013 | 99 | 2013 |
| Implied stochastic volatility models Y Aït-Sahalia, C Li, CX Li The Review of Financial Studies 34 (1), 394-450, 2021 | 52 | 2021 |
| Closed-form implied volatility surfaces for stochastic volatility models with jumps Y Aït-Sahalia, C Li, CX Li Journal of Econometrics 222 (1), 364-392, 2021 | 46 | 2021 |
| Closed-form expansion, conditional expectation, and option valuation C Li Mathematics of Operations Research 39 (2), 487-516, 2014 | 43 | 2014 |
| Closed-form expansions of discretely monitored Asian options in diffusion models N Cai, C Li, C Shi Mathematics of Operations Research 39 (3), 789-822, 2014 | 39 | 2014 |
| Bessel processes, stochastic volatility, and timer options C Li Mathematical Finance 26 (1), 122-148, 2016 | 32 | 2016 |
| Estimating jump–diffusions using closed-form likelihood expansions C Li, D Chen Journal of Econometrics 195 (1), 51-70, 2016 | 29 | 2016 |
| Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model C Li, L Wu European Journal of Operational Research 275 (2), 768-779, 2019 | 28 | 2019 |
| A closed-form expansion approach for pricing discretely monitored variance swaps C Li, X Li Operations Research Letters 43 (4), 450-455, 2015 | 16 | 2015 |
| Pricing and exercising American options: an asymptotic expansion approach C Li, Y Ye Journal of Economic Dynamics and Control 107, 103729, 2019 | 15 | 2019 |
| Managing volatility risk CX Li Doctoral Dissertation, Columbia University, 2010 | 13 | 2010 |
| Maximum likelihood estimation of latent Markov models using closed-form approximations Y Aït-Sahalia, C Li, CX Li Journal of Econometrics 240 (2), 105008, 2024 | 11 | 2024 |
| Efficient computation of the likelihood expansions for diffusion models C Li, Y An, D Chen, Q Lin, N Si IIE Transactions 48 (12), 1156-1171, 2016 | 5 | 2016 |
| Approximating local volatility functions of stochastic volatility models: a closed-form expansion approach Y An, C Li Probability in the Engineering and Informational Sciences 29 (4), 547-563, 2015 | 5 | 2015 |
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets C Li, O Scaillet, Y Shen Swiss Finance Institute, 2020 | 4 | 2020 |
| Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms N Cai, C Li, C Shi Journal of Economic Dynamics and Control 127, 104113, 2021 | 3 | 2021 |
| So many jumps, so few news Y Aït-Sahalia, CX Li, C Li National Bureau of Economic Research, 2024 | 2 | 2024 |
| Closed-form expansion for option price under stochastic volatility model with concurrent jumps D Chen, C Li IISE Transactions 55 (8), 781-793, 2023 | 2 | 2023 |
| Managing volatility risk by timer options C Li Working paper of Columbia University, 2009 | 2 | 2009 |
| The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models D Chen, C Li, CY Tang, J Yan Journal of Business & Economic Statistics 42 (2), 548-562, 2024 | 1 | 2024 |
