.
Li, Minqiang's
Scholarly Papers
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column.
Aggregate Statistics
Total 5,633
Total Citations 29
1.
Closed-Form Approximations for Spread Option Prices and Greeks
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Li, Minqiang Bloomberg LP
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
Zhou, Jieyun Georgia Institute of Technology
Posted:
20 Dec 06
Last Revised:
08 Jun 10
1,776(3,436)
3
Li, Minqiang Bloomberg LP
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
Zhou, Jieyun Georgia Institute of Technology
Posted:
12 Feb 08
Last Revised:
12 Oct 09
0
Spread options, exercise boundary, closed-form approximation
Li, Minqiang Bloomberg LP
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
Zhou, Jieyun Georgia Institute of Technology
Posted:
20 Dec 06
Last Revised:
08 Jun 10
1,776
3
Spread option, Closed-form approximation, Greeks
2.
Li, Minqiang Bloomberg LP
995(9,348)
Implied volatility, Black-Scholes formula, rational approximation
3.
Multi-Asset Spread Option Pricing and Hedging
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Li, Minqiang Bloomberg LP
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
Zhou, Jieyun Georgia Institute of Technology
Posted:
31 Oct 07
Last Revised:
13 Mar 10
904(10,861)
2
Li, Minqiang Bloomberg LP
Zhou, Jieyun Georgia Institute of Technology
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
0
Multi-asset spread options, Second-order boundary approximation, Closed-form approximation
Li, Minqiang Bloomberg LP
Deng, Shijie Georgia Institute of Technology - School of Industrial and Systems Engineering
Zhou, Jieyun Georgia Institute of Technology
904
2
Multi-asset spread options, boundary approximation, Kirk approximation
4.
Li, Minqiang Bloomberg LP
Pearson, Neil D. University of Illinois at Urbana-Champaign - Department of Finance
776(13,760)
7
option pricing models, performance comparison, implied skew
5.
Li, Minqiang Bloomberg LP
Lee, Kyuseok KAIST Business School
344(40,979)
2
Successive over-relaxation, Black-Scholes formula, Implied volatility, Convergence acceleration, Rational approximation
6.
Li, Minqiang Bloomberg LP
Pearson, Neil D. University of Illinois at Urbana-Champaign - Department of Finance
Poteshman, Allen M. University of Illinois at Urbana-Champaign - Department of Finance
251(58,975)
7
7.
The Impact of Return Nonnormality on Exchange Options
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Li, Minqiang Bloomberg LP
Posted:
28 Mar 07
Last Revised:
08 Oct 09
237(62,668)
6
Li, Minqiang Bloomberg LP
Posted:
07 Feb 08
Last Revised:
08 Oct 09
0
multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula
Li, Minqiang Bloomberg LP
237
6
multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula
8.
A Quasi-Analytical Interpolation Method for Pricing American Options Under General Multi-Dimensional Diffusion Processes
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Li, Minqiang Bloomberg LP
Posted:
04 Oct 09
Last Revised:
29 Aug 12
108(127,997)
Li, Minqiang Bloomberg LP
0
American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston’s Stochastic volatility model
Li, Minqiang Bloomberg LP
108
American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston's Stochastic volatility model
9.
Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
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Li, Minqiang Bloomberg LP
Posted:
04 Oct 09
Last Revised:
15 Mar 10
90(145,158)
1
Li, Minqiang Bloomberg LP
0
American option, Analytical approximation, Critical stock price
Li, Minqiang Bloomberg LP
90
1
American option, Analytical approximation, Critical stock price
10.
A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation
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Li, Minqiang Bloomberg LP
Posted:
04 Oct 09
Last Revised:
05 Feb 10
86(149,436)
1
Li, Minqiang Bloomberg LP
0
Damped diffusion, Asset Price Bubbles, Martingale Pricing, Maximum Likelihood Estimation
Li, Minqiang Bloomberg LP
86
1
Damped diffusion, asset price bubbles, martingale pricing, maximum likelihood estimation, parametric specification test
11.
Li, Minqiang Bloomberg LP
Mercurio, Fabio Bloomberg L.P.
42(217,763)
Timer options, Asymptotic expansion, Closed-form approximation, Perturbation
12.
Li, Minqiang Bloomberg LP
11(307,057)
Volatility Indices, Continuous-time Dynamics, Maximum Likelihood Estimation, Parametric Specification Test
13.
Li, Minqiang Bloomberg LP
9(313,549)
Risk index, Attractiveness index, Duality, Additive gambles, Multiplicative gambles
14.
Li, Minqiang Bloomberg LP
Peng, Liang Georgia Institute of Technology
Qi, Yongcheng University of Minnesota–Duluth
4(328,029)
profile empirical likelihood, estimating equation, Jackknife
15.
Li, Minqiang Bloomberg LP
Implied volatility, Black-Scholes formula, Rational functions
