Minqiang Li

Bloomberg LP

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 5,842

in Total Papers Downloads

7,605

SSRN CITATIONS
Rank 28,835

SSRN RANKINGS

Top 28,835

in Total Papers Citations

11

CROSSREF CITATIONS

13

Scholarly Papers (18)

1.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Minqiang Li
Bloomberg LP
Downloads 2,754 (4,467)

Abstract:

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Implied volatility, Black-Scholes formula, rational approximation

2.
Downloads 1,079 ( 20,185)
Citation 3

Multi-Asset Spread Option Pricing and Hedging

Number of pages: 40 Posted: 31 Oct 2007
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Downloads 1,079 (19,817)
Citation 3

Abstract:

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Multi-asset spread options, boundary approximation, Kirk approximation

Multi-Asset Spread Option Pricing and Hedging

Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010
Posted: 13 Mar 2010
Minqiang Li, Jieyun Zhou and Shijie Deng
Bloomberg LP, Georgia Institute of Technology and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

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Multi-asset spread options, Second-order boundary approximation, Closed-form approximation

3.

A 'Horse Race' Among Competing Option Pricing Models Using S&P 500 Index Options

Number of pages: 34 Posted: 24 Mar 2008
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 910 (25,909)
Citation 7

Abstract:

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option pricing models, performance comparison, implied skew

4.

An Adaptive Successive Over-Relaxation Method for Computing the Black-Scholes Implied Volatility

Number of pages: 57 Posted: 15 Nov 2007
Minqiang Li and Kyuseok Lee
Bloomberg LP and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 671 (39,441)
Citation 3

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Successive over-relaxation, Black-Scholes formula, Implied volatility, Convergence acceleration, Rational approximation

5.

Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment

Number of pages: 33 Posted: 14 May 2015 Last Revised: 23 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 623 (43,593)
Citation 4

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Wrong-way risk; Credit value adjustment; jump diffusion model; default

6.

Conditional Estimation of Diffusion Processes

EFMA 2003 Helinski Meetings
Number of pages: 47 Posted: 24 Jun 2003
Bloomberg LP, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 297 (106,083)
Citation 5

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The Impact of Return Nonnormality on Exchange Options

Number of pages: 24 Posted: 28 Mar 2007
Minqiang Li
Bloomberg LP
Downloads 259 (122,017)
Citation 1

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multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula

The Impact of Return Nonnormality on Exchange Options

Journal of Futures Markets, Vol. 28, No. 9, pp. 845-870, 2008
Posted: 07 Feb 2008 Last Revised: 08 Oct 2009
Minqiang Li
Bloomberg LP

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multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula

8.

Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models

Number of pages: 44 Posted: 04 Apr 2013
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 214 (148,043)
Citation 2

Abstract:

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Timer options, Asymptotic expansion, Closed-form approximation, Perturbation

9.

The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Applications

Number of pages: 18 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 191 (164,628)
Citation 1

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LIBOR-OIS basis, jump-diffusion dynamics, zero-coupon swap, swap gap risk

Downloads 133 (224,508)
Citation 1

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American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston's Stochastic volatility model

A Quasi-Analytical Interpolation Method for Pricing American Options Under General Multi-Dimensional Diffusion Processes

Review of Derivatives Research, Vol. 13, No. 2, pp. 177-217, 2010
Posted: 09 Jun 2010
Minqiang Li
Bloomberg LP

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American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston’s Stochastic volatility model

Downloads 128 (231,390)
Citation 1

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American option, Analytical approximation, Critical stock price

Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison

Review of Derivatives Research, Vol. 13, No. 1, pp. 75-99, 2010
Posted: 15 Mar 2010
Minqiang Li
Bloomberg LP

Abstract:

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American option, Analytical approximation, Critical stock price

12.

The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS

Number of pages: 18 Posted: 25 Jun 2018
Minqiang Li, Fabio Mercurio and Serge Resnick
Bloomberg LP, Bloomberg L.P. and Independent
Downloads 123 (237,582)

Abstract:

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linear SDE, chaos expansion, PDE, perturbation approach, quanto CDS

Downloads 106 (265,898)
Citation 1

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Damped diffusion, asset price bubbles, martingale pricing, maximum likelihood estimation, parametric specification test

A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation

Journal of Economic Dynamics and Control, Vol. 34, No. 2, 2010
Posted: 05 Feb 2010
Minqiang Li
Bloomberg LP

Abstract:

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Damped diffusion, Asset Price Bubbles, Martingale Pricing, Maximum Likelihood Estimation

On Aumann and Serrano's Economic Index of Risk

Number of pages: 36 Posted: 04 Apr 2013
Minqiang Li
Bloomberg LP
Downloads 53 (398,846)

Abstract:

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Risk index, Attractiveness index, Duality, Additive gambles, Multiplicative gambles

On Aumann and Serrano's Economic Index of Risk

Economic Theory, Vol. 55, No. 2, 2014
Posted: 17 Feb 2014
Minqiang Li
Bloomberg LP

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Index of Risk, Duality, Gamble

15.

Reduce Computation in Profile Empirical Likelihood Method

Number of pages: 38 Posted: 27 Apr 2013
Minqiang Li, Liang Peng and Yongcheng Qi
Bloomberg LP, Georgia Institute of Technology and University of Minnesota - Duluth
Downloads 34 (465,972)

Abstract:

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profile empirical likelihood, estimating equation, Jackknife

16.
Downloads 30 (484,995)

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Volatility Indices, Continuous-time Dynamics, Maximum Likelihood Estimation, Parametric Specification Test

17.

Approximate Inversion of the Black-Scholes Formula Using Rational Functions

European Journal of Operational Research, Vol. 185, No. 2, pp. 743-759, March 2008
Posted: 12 Feb 2008
Minqiang Li
Bloomberg LP

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Implied volatility, Black-Scholes formula, Rational functions

Closed-Form Approximations for Spread Option Prices and Greeks

Posted: 20 Dec 2006 Last Revised: 21 May 2019
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

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Spread option, Closed-form approximation, Greeks

Closed-Form Approximations for Spread Option Prices and Greeks

Journal of Derivatives, Vol. 15, No. 3, pp. 58-80, 2008
Posted: 12 Feb 2008 Last Revised: 12 Oct 2009
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

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Spread options, exercise boundary, closed-form approximation

Other Papers (1)

Total Downloads: 663
1.

Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern

AFA 2006 Boston Meetings Paper
Number of pages: 55 Posted: 21 Mar 2005 Last Revised: 06 Oct 2009
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 663

Abstract:

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Implied volatility, volatility skew, index options