Details about Min Dai

Access statistics for papers by Min Dai.

Last updated 2021-10-02. Update your information in the RePEc Author Service.

Short-id: pda481

Working Papers

2022

1. Dynamic Trading with Realization Utility
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Strategic Investment under Uncertainty with First- and Second-mover Advantages
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2020

3. A q Theory of Internal Capital Markets
   NBER Working Papers, National Bureau of Economic Research, Inc

2009

4. Continuous-Time Markowitz's Model with Transaction Costs
   Papers, arXiv.org View citations (1)
5. Optimal Redeeming Strategy of Stock Loans
   Papers, arXiv.org

Journal Articles

2023

1. A Rational Theory for Disposition Effects
   Review of Economic Dynamics, 2023, 47, 131-157 View citations (2)

2019

2. How Does Illiquidity Affect Delegated Portfolio Choice?
   Journal of Financial and Quantitative Analysis, 2019, 54, (2), 539-585 View citations (2)
3. Opaque bank assets and optimal equity capital
   Journal of Economic Dynamics and Control, 2019, 100, (C), 369-394 View citations (2)

2016

4. Calibration of stochastic volatility models: A Tikhonov regularization approach
   Journal of Economic Dynamics and Control, 2016, 64, (C), 66-81 View citations (5)
5. Portfolio Choice with Market Closure and Implications for Liquidity Premia
   Management Science, 2016, 62, (2), 368-386 View citations (19)

2015

6. Hiring, firing, and relocation under employment protection
   Journal of Economic Dynamics and Control, 2015, 56, (C), 55-81
7. Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax
   The Review of Financial Studies, 2015, 28, (9), 2687-2721 View citations (5)
8. Superhedging under ratio constraint
   Journal of Economic Dynamics and Control, 2015, 58, (C), 250-264 View citations (1)

2013

9. Pricing corporate debt with finite maturity and chapter 11 proceedings
   Quantitative Finance, 2013, 13, (12), 1855-1861 View citations (1)

2012

10. Leverage management in a bull–bear switching market
    Journal of Economic Dynamics and Control, 2012, 36, (10), 1585-1599 View citations (1)

2011

11. Illiquidity, position limits, and optimal investment for mutual funds
    Journal of Economic Theory, 2011, 146, (4), 1598-1630 View citations (14)
12. Optimal Decision for Selling an Illiquid Stock
    Journal of Optimization Theory and Applications, 2011, 151, (2), 402-417 View citations (1)
13. Optimal arbitrage strategies on stock index futures under position limits
    Journal of Futures Markets, 2011, 31, (4), 394-406 View citations (19)

2010

14. A lattice algorithm for pricing moving average barrier options
    Journal of Economic Dynamics and Control, 2010, 34, (3), 542-554 View citations (12)

2009

15. Pricing jump risk with utility indifference
    Quantitative Finance, 2009, 9, (2), 177-186 View citations (3)

2008

16. GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
    Mathematical Finance, 2008, 18, (4), 595-611 View citations (73)
17. Optimal multiple stopping models of reload options and shout options
    Journal of Economic Dynamics and Control, 2008, 32, (7), 2269-2290 View citations (5)

2007

18. Intensity-based framework and penalty formulation of optimal stopping problems
    Journal of Economic Dynamics and Control, 2007, 31, (12), 3860-3880 View citations (15)

2006

19. CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
    Mathematical Finance, 2006, 16, (1), 63-82 View citations (11)

2005

20. Optimal policies of call with notice period requirement
    Asia-Pacific Financial Markets, 2005, 12, (4), 353-373 View citations (2)
21. Options with combined reset rights on strike and maturity
    Journal of Economic Dynamics and Control, 2005, 29, (9), 1495-1515 View citations (2)
22. Valuing employee reload options under the time vesting requirement
    Quantitative Finance, 2005, 5, (1), 61-69 View citations (2)

2004

23. Knock‐in American options
    Journal of Futures Markets, 2004, 24, (2), 179-192 View citations (8)
24. OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
    Mathematical Finance, 2004, 14, (3), 383-401 View citations (8)
25. QUANTO LOOKBACK OPTIONS
    Mathematical Finance, 2004, 14, (3), 445-467 View citations (10)

2003

26. One-state variable binomial models for European-/American-style geometric Asian options
    Quantitative Finance, 2003, 3, (4), 288-295 View citations (3)
27. Options with Multiple Reset Rights
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (06), 637-653 View citations (6)

Chapters

2018

1. Interest Rate Swap Valuation in the Chinese Market
   Chapter 13 in Innovations in Insurance, Risk- and Asset Management, 2018, pp 349-365 View citations (1)

Editor

1. Digital Finance
   Springer