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Derivatives pricing on integrated diffusion processes : a general perturbation approach

Li, Minqiang - In: The journal of futures markets 35 (2015) 6, pp. 582-595

Persistent link: https://www.econbiz.de/10011405411

Approximate inversion of the Black-Scholes formula using rational functions

Li, Minqiang - In: European journal of operational research : EJOR 185 (2008) 2, pp. 743-759

Persistent link: https://www.econbiz.de/10003769241

A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157

Persistent link: https://www.econbiz.de/10003947634

A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

Li, Minqiang - In: Review of derivatives research 13 (2010) 2, pp. 177-217

Persistent link: https://www.econbiz.de/10008695491

Analytical approximations for the critical stock prices of American options : a performance comparison

Li, Minqiang - In: Review of derivatives research 13 (2010) 1, pp. 75-99

Persistent link: https://www.econbiz.de/10008695500

An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil

Li, Minqiang - In: Journal of empirical finance 22 (2013), pp. 128-139

Persistent link: https://www.econbiz.de/10009768415

On Aumann and Serrano's economic index of risk

Li, Minqiang - In: Economic theory : official journal of the Society for … 55 (2014) 2, pp. 415-437

Persistent link: https://www.econbiz.de/10010250044

Aumann and Serrano’s economic index of risk for sums of gambles

Li, Minqiang - In: Cogent economics & finance 2 (2014) 1, pp. 1-5

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

Persistent link: https://www.econbiz.de/10010469296

Closed-form approximation of perpetual timer option prices

Li, Minqiang; Mercurio, Fabio - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10010391503

The impact of return nonformality on exchange options

Li, Minqiang - In: The journal of futures markets 28 (2008) 9, pp. 845-870

Persistent link: https://www.econbiz.de/10003746357