Lingfei Li

The Chinese University of Hong Kong

Associate Professor

Shatin, New Territories

Hong Kong

SCHOLARLY PAPERS

20

DOWNLOADS

1,269

SSRN CITATIONS

34

CROSSREF CITATIONS

36

Scholarly Papers (20)

1.

Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior

Number of pages: 38 Posted: 26 Jul 2017
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 329 (103,572)
Citation 11

Abstract:

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Diffusions, Jumps, Markov Chain, Non-Uniform Grids, Convergence Rate, Smooth Convergence, Extrapolation, Spectral Representation, Non-Smooth Payoffs

2.

Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 11 Aug 2016 Last Revised: 16 Jun 2017
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 116 (268,516)
Citation 5

Abstract:

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diffusions, subordination, Markov chain approximation, finite difference, spectral representation, convergence rate, European and barrier options, non-smooth payoffs, smoothing techniques

3.

Discretely Monitored First Passage Problems and Barrier Options: An Eigenfunction Expansion Approach

Finance and Stochastics, Forthcoming
Number of pages: 33 Posted: 05 Nov 2014
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 108 (282,270)
Citation 2

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first passage times, barrier options, diffusions, Bochner's subordination,eigenfunction expansions

4.

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

Number of pages: 36 Posted: 07 Feb 2013 Last Revised: 22 Feb 2013
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 106 (286,055)
Citation 5

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optimal stopping, American options, eigenfunction expansions

5.

Additive Subordination and Its Applications in Finance

Number of pages: 36 Posted: 25 Jul 2014 Last Revised: 24 Jun 2015
Independent, The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 92 (313,930)
Citation 4

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time dependency, time change, Bochner's subordination, additive subordination,diffusions, jumps, derivative pricing, spread options

6.

An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance

Number of pages: 36 Posted: 14 May 2015
Lingfei Li, Xianjun Qu and Gongqiu Zhang
The Chinese University of Hong Kong, Hantak Investment Co. and Economics and Management School, Wuhan University
Downloads 83 (334,688)
Citation 4

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optimal switching and optimal multiple stopping, diffusions and subordinate diffusions, eigenfunction expansions, interest-rate chooser flexible caps/floors, commodity swing options, real options.

7.

Analytical Representations for the Basic Affine Jump Diffusion

Number of pages: 14 Posted: 17 Jun 2015
The Chinese University of Hong Kong, University of Texas at Austin - Department of Information, Risk and Operations Management and Singapore University of Technology and Design (SUTD)
Downloads 78 (347,107)
Citation 3

Abstract:

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Basic Affine Jump Diffusion, subordination, transition density

8.

Modelling Electricity Prices: A Time Change Approach

Number of pages: 35 Posted: 16 Jun 2015
The Chinese University of Hong Kong, University of Texas at Austin - Department of Information, Risk and Operations Management, The Chinese University of Hong Kong (CUHK) and Singapore University of Technology and Design (SUTD)
Downloads 75 (355,037)
Citation 2

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electricity spot prices, electricity futures and futures options, spikes, mean-reversion, seasonality, stochastic time change, Laplace transform

9.

Option Pricing in Some Non-Levy Jump Models

SIAM Journal on Scientific Computing, Forthcoming
Number of pages: 31 Posted: 15 Jul 2016
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Economics and Management School, Wuhan University
Downloads 70 (368,801)
Citation 2

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jump processes, option pricing, time change, finite difference, matrix eigendecomposition

10.

Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach

Number of pages: 27 Posted: 22 Jun 2012
Dongjae Lim, Lingfei Li and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 63 (389,761)
Citation 8

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interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes

11.

Equivalent Measure Changes for Subordinate Diffusions

Number of pages: 22 Posted: 22 Jul 2015 Last Revised: 05 Aug 2015
Lingfei Li and Rafael Mendoza-Arriaga
The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 43 (462,043)

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12.

Stressed Distance to Default and Default Risk

Number of pages: 25 Posted: 25 Feb 2020 Last Revised: 08 Mar 2020
Nan Guo and Lingfei Li
China Bond Rating Co. Ltd. and The Chinese University of Hong Kong
Downloads 38 (483,615)

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Default risk; Distance to default; Systematic stress scenario; Credit rating; Credit derivative

13.

Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients

Number of pages: 38 Posted: 03 Jun 2019 Last Revised: 06 Sep 2019
Gongqiu Zhang and Lingfei Li
The Chinese University of Hong Kong, Shenzhen and The Chinese University of Hong Kong
Downloads 32 (512,369)
Citation 4

Abstract:

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Markov chain approximation; non-smooth coefficients; error analysis

14.

Pricing American Drawdown Options under Markov Models

Number of pages: 34 Posted: 10 Aug 2020
Xiang Zhang, Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong, The Chinese University of Hong Kong and The Chinese University of Hong Kong, Shenzhen
Downloads 24 (557,855)

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drawdown, optimal stopping, Russian options, American lookback options, Markov chain approximation, Laplace transform, variational inequality, linear complementarity problem.

15.

A General Approach for Parisian Stopping Times with Applications in Finance and Insurance

Number of pages: 32 Posted: 06 Dec 2019 Last Revised: 26 May 2020
Gongqiu Zhang and Lingfei Li
The Chinese University of Hong Kong, Shenzhen and The Chinese University of Hong Kong
Downloads 11 (645,275)

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Parisian Stopping Time, Parisian Option, Laplace Transform

16.

Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing

Mathematical Finance, Vol. 28, Issue 3, pp. 877-919, 2018
Number of pages: 43 Posted: 14 Jun 2018
Lingfei Li and Gongqiu Zhang
The Chinese University of Hong Kong and Wuhan University
Downloads 1 (727,291)
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Abstract:

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convergence rate, diffusions, European and barrier options, finite difference, Markov chain approximation, nonsmooth payoffs, smoothing techniques, spectral representation, subordination

17.

Analysis of Markov Chain Approximation for Diffusion Models with Non-Smooth Coefficients

Posted: 31 Jan 2019
Gongqiu Zhang and Lingfei Li
The Chinese University of Hong Kong, Shenzhen and The Chinese University of Hong Kong

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Diffusion models, nonsmooth coefficients, convergence rate, finite difference, grid design

18.

A Multidimensional Hilbert Transform Approach for Barrier Option Pricing and Survival Probability Calculation

Posted: 21 Dec 2017
Jie Chen, Liaoyuan Fan and Lingfei Li
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) and The Chinese University of Hong Kong

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Hilbert Transform, Sinc Expansion, Levy Processes, Barrier Options, Credit Risk, Survival Probability

19.

Ornstein-Uhlenbeck Processes Time Changed with Additive Subordinators and Their Applications in Commodity Derivative Models

Operations Research Letters, 41(5), 521-525
Posted: 25 Jul 2014
Rafael Mendoza-Arriaga and Lingfei Li
University of Texas at Austin - Department of Information, Risk and Operations Management and The Chinese University of Hong Kong

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Commodity derivatives, Additive processes, Time change Ornstein-Uhlenbeck, Time-dependent and mean-reverting jumps, Eigenfunction expansions

20.

Time-Changed Ornstein-Uhlenbeck Processes and Their Applications in Commodity Derivative Models

Mathematical Finance, Forthcoming
Posted: 17 Apr 2012 Last Revised: 06 Feb 2013
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences

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commodity derivatives, mean-reverting jumps, eigenfunction expansion