Minqiang Li

Bloomberg LP

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 3,525

SSRN RANKINGS

Top 3,525

in Total Papers Downloads

9,125

CITATIONS
Rank 11,596

SSRN RANKINGS

Top 11,596

in Total Papers Citations

35

Scholarly Papers (17)

Closed-Form Approximations for Spread Option Prices and Greeks

Number of pages: 39 Posted: 20 Dec 2006 Last Revised: 08 Jun 2010
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 2,759 (3,224)
Citation 4

Abstract:

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:

Spread options, exercise boundary, closed-form approximation

2.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Minqiang Li
Bloomberg LP
Downloads 1,550 (4,644)

Abstract:

Implied volatility, Black-Scholes formula, rational approximation

3.
Downloads 1,053 ( 16,286)
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 1,053 (15,986)
Citation 3

Abstract:

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)

Abstract:

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

4.

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 843 (21,440)
Citation 7

Abstract:

option pricing models, performance comparison, implied skew

5.

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 Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Downloads 404 (47,989)
Citation 2

Abstract:

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

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 264 (90,197)
Citation 9

Abstract:

The Impact of Return Nonnormality on Exchange Options

Number of pages: 24 Posted: 28 Mar 2007
Minqiang Li
Bloomberg LP
Downloads 252 (101,611)
Citation 6

Abstract:

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

Abstract:

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 177 (128,441)

Abstract:

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

Downloads 125 (192,949)

Abstract:

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

Abstract:

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

Downloads 105 (219,904)
Citation 1

Abstract:

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:

American option, Analytical approximation, Critical stock price

Downloads 98 (230,821)
Citation 2

Abstract:

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:

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

12.

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 63 (53,473)

Abstract:

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

On Aumann and Serrano's Economic Index of Risk

Number of pages: 36 Posted: 04 Apr 2013
Minqiang Li
Bloomberg LP
Downloads 43 (361,734)

Abstract:

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

Abstract:

Index of Risk, Duality, Gamble

14.

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 20 (431,374)

Abstract:

profile empirical likelihood, estimating equation, Jackknife

15.
Downloads 18 (431,374)

Abstract:

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

16.

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 0 (224,725)

Abstract:

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

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

Abstract:

Implied volatility, Black-Scholes formula, Rational functions

Other Papers (1)

Total Downloads: 645    Citations: 5
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 629
Citation 5

Abstract:

Implied volatility, volatility skew, index options