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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
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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
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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
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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
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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
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The continuous-time dynamics of VIX amid the recent market turmoil
Li, Minqiang - 2011
Persistent link: https://www.econbiz.de/10009716086
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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
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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
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The continuous-time dynamics of VIX amid the recent market turmoil
Li, Minqiang - In: Financial markets and the global recession, (pp. 201-222). 2010
Persistent link: https://www.econbiz.de/10009614250
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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