Details about Minqiang Li

Access statistics for papers by Minqiang Li.

Last updated 2023-07-10. Update your information in the RePEc Author Service.

Short-id: pli360

Working Papers

2014

1. Analytic Approximation of Finite-Maturity Timer Option Prices
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Analytic Approximation of Finite‐Maturity Timer Option Prices, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) View citations (5) (2015)
2. Aumann and Serrano's Economic Index of Risk for Sums of Gambles
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Aumann and Serrano's economic index of risk for sums of gambles, Cogent Economics & Finance, Taylor & Francis Journals (2014) (2014)
3. Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) View citations (1) (2015)

2013

4. Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
   MPRA Paper, University Library of Munich, Germany View citations (1)
5. On Aumann and Serrano's Economic Index of Risk
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article On Aumann and Serrano’s economic index of risk, Economic Theory, Springer (2014) View citations (2) (2014)

2011

6. Reduce computation in profile empirical likelihood method
   MPRA Paper, University Library of Munich, Germany View citations (5)

2010

7. Asset Pricing - A Brief Review
   (Asset Pricing - A Brief Review)
   MPRA Paper, University Library of Munich, Germany View citations (2)

2009

8. A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes, Review of Derivatives Research, Springer (2010) View citations (2) (2010)
9. Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Analytical approximations for the critical stock prices of American options: a performance comparison, Review of Derivatives Research, Springer (2010) View citations (4) (2010)

2008

10. A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (6) (2010)
11. An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility, Quantitative Finance, Taylor & Francis Journals (2011) View citations (5) (2011)
12. Closed-Form Approximations for Spread Option Prices and Greeks
    MPRA Paper, University Library of Munich, Germany View citations (36)
13. Multi-asset Spread Option Pricing and Hedging
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Multi-asset spread option pricing and hedging, Quantitative Finance, Taylor & Francis Journals (2010) View citations (19) (2010)
14. Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern
    MPRA Paper, University Library of Munich, Germany

2007

15. The Impact of Return Nonnormality on Exchange Options
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article The impact of return nonnormality on exchange options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2008) View citations (7) (2008)

Journal Articles

2015

1. Analytic Approximation of Finite‐Maturity Timer Option Prices
   Journal of Futures Markets, 2015, 35, (3), 245-273 View citations (5)
   See also Working Paper Analytic Approximation of Finite-Maturity Timer Option Prices, MPRA Paper (2014) View citations (1) (2014)
2. Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
   Journal of Futures Markets, 2015, 35, (6), 582-595 View citations (1)
   See also Working Paper Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach, MPRA Paper (2014) View citations (1) (2014)

2014

3. Aumann and Serrano's economic index of risk for sums of gambles
   Cogent Economics & Finance, 2014, 2, (1), 1-5
   See also Working Paper Aumann and Serrano's Economic Index of Risk for Sums of Gambles, MPRA Paper (2014) View citations (1) (2014)
4. CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
   International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (04), 1-34 View citations (3)
5. On Aumann and Serrano’s economic index of risk
   Economic Theory, 2014, 55, (2), 415-437 View citations (2)
   See also Working Paper On Aumann and Serrano's Economic Index of Risk, MPRA Paper (2013) View citations (1) (2013)

2013

6. An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
   Journal of Empirical Finance, 2013, 22, (C), 128-139

2011

7. An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
   Quantitative Finance, 2011, 11, (8), 1245-1269 View citations (5)
   See also Working Paper An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility, MPRA Paper (2008) (2008)

2010

8. A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
   Journal of Economic Dynamics and Control, 2010, 34, (2), 132-157 View citations (6)
   See also Working Paper A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation, MPRA Paper (2008) (2008)
9. A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
   Review of Derivatives Research, 2010, 13, (2), 177-217 View citations (2)
   See also Working Paper A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes, MPRA Paper (2009) (2009)
10. Analytical approximations for the critical stock prices of American options: a performance comparison
    Review of Derivatives Research, 2010, 13, (1), 75-99 View citations (4)
    See also Working Paper Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison, MPRA Paper (2009) View citations (2) (2009)
11. Multi-asset spread option pricing and hedging
    Quantitative Finance, 2010, 10, (3), 305-324 View citations (19)
    See also Working Paper Multi-asset Spread Option Pricing and Hedging, MPRA Paper (2008) View citations (1) (2008)

2008

12. Approximate inversion of the Black-Scholes formula using rational functions
    European Journal of Operational Research, 2008, 185, (2), 743-759 View citations (20)
13. The impact of return nonnormality on exchange options
    Journal of Futures Markets, 2008, 28, (9), 845-870 View citations (7)
    See also Working Paper The Impact of Return Nonnormality on Exchange Options, MPRA Paper (2007) View citations (1) (2007)

2004

14. Conditional estimation of diffusion processes
    Journal of Financial Economics, 2004, 74, (1), 31-66 View citations (16)