Qiang Liu

Southwestern University of Finance and Economics - School of Finance

Dr.

423 Gezhi Building

555 Liutai Boulevard, Wenjiang

Chengdu, Sichuan 611130

China

http://129.news.swufe.edu.cn/4282.html

SCHOLARLY PAPERS

16

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1

CROSSREF CITATIONS

11

Scholarly Papers (16)

1.

Options' Prices Under Arithmetic Brownian Motion and Their Implication for Modern Derivatives Pricing

Number of pages: 9 Posted: 29 Jan 2007
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 1,295 (15,184)
Citation 3

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arithmetic Brownian motion, ABM, options' pricing formulas, risk-neutral valuation, violations of no arbitrage

2.

Approximating the Optimal Exercise Boundary for American Options via Least-Squares Monte Carlo

Number of pages: 27 Posted: 07 May 2008 Last Revised: 12 Apr 2015
Qiang Liu, Shuxin Guo and Fangyi He
Southwestern University of Finance and Economics - School of Finance, Southwest Jiaotong University - School of Economics & Management and Southwestern University of Finance and Economics (SWUFE)
Downloads 644 (41,287)

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optimal exercise boundary; exponential functions; American option; least-squares Monte Carlo; efficient implementation

3.

Approximating the Embedded M Out of N Day Soft-Call Option of a Convertible Bond: An Auxiliary Reversed Binomial Tree Method

Number of pages: 17 Posted: 22 Jan 2007 Last Revised: 26 Jul 2008
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 550 (50,745)
Citation 2

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m out of n day provisional call, soft-call, call protection, embedded option, path-dependence, auxiliary reversed binomial tree, convertible bond

4.

Pricing American Options by Canonical Least-Squares Monte Carlo

Number of pages: 9 Posted: 16 Jun 2008
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 440 (66,986)
Citation 2

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American option, risk-neutral distribution, canonical valuation, least-squares Monte Carlo, options pricing

5.

Optimal Approximations of Nonlinear Payoffs in Static Replication

Number of pages: 17 Posted: 29 Sep 2008 Last Revised: 03 Feb 2009
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 359 (85,164)

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static replication, nonlinear payoff, replication by line segments, optimal approximation, minimum expected area, least expected squares

6.

The Puzzle of Warrants Trading Below Their Intrinsic Values in China's A-Share Market

Number of pages: 14 Posted: 07 May 2008
Qiang Liu, Song-Ping Zhu and Wei Fan
Southwestern University of Finance and Economics - School of Finance, University of Wollongong and Tsinghua University
Downloads 292 (107,114)
Citation 2

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Chinese warrant, intrinsic value, abnormal warrant price, T 1 trading rule, irrational behavior, rational trading strategy

7.

Buffett's Miscalculation on his Long-Dated Put Deals

Number of pages: 5 Posted: 07 Mar 2009 Last Revised: 23 Mar 2009
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 263 (119,577)

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Buffett's Letter to Investors, options miscalculation, long-dated options, Black-Scholes premium, expected loss

8.

Recombining Binomial Tree for Pricing Options on Stocks with Known Dollar Dividends

Number of pages: 40 Posted: 10 Aug 2012 Last Revised: 12 Apr 2015
Shuxin Guo and Qiang Liu
Southwest Jiaotong University - School of Economics & Management and Southwestern University of Finance and Economics - School of Finance
Downloads 249 (126,610)

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known dollar dividends; recombining binomial tree; balanced dividend adjustments; pricing American options; non-recombining binomial tree

9.

Variance Risk Premium and VIX Pricing: A Simple GARCH Approach

Number of pages: 28 Posted: 03 Oct 2012 Last Revised: 12 Apr 2015
Qiang Liu, Gaoxiu Qiao and Shuxin Guo
Southwestern University of Finance and Economics - School of Finance, Southwest Jiaotong University and Southwest Jiaotong University - School of Economics & Management
Downloads 242 (130,326)

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Variance Risk Premium; Out-of-sample One-day VIX Pricing; GARCH(1,1); GJR GARCH; Heston-Nandi GARCH

10.

Canonical Least-Squares Monte Carlo: Empirical Evidences from S&P 100 Index and IBM Puts

Number of pages: 15 Posted: 24 Mar 2010
Qiang Liu and Xisheng Yu
Southwestern University of Finance and Economics - School of Finance and Southwestern University of Finance and Economics (SWUFE)
Downloads 149 (202,530)
Citation 1

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canonical least-squares Monte-Carlo, CLM; American options, OEX put, IBM put, S&P 100 Index, empirical study

11.

Canonical Distribution, Implied Binomial Tree, and the Pricing of American Options

The Journal of Futures Markets, Forthcoming
Number of pages: 24 Posted: 19 Sep 2011 Last Revised: 21 Sep 2011
Qiang Liu and Shuxin Guo
Southwestern University of Finance and Economics - School of Finance and Southwest Jiaotong University - School of Economics & Management
Downloads 142 (210,658)

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canonical distribution, implied binomial tree, American options, S&P 100 Index (OEX) puts, option pricing

12.

Variance-Constrained Canonical Least-Squares Monte Carlo: An Accurate Method for Pricing American Options

Number of pages: 25 Posted: 16 Mar 2011
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Downloads 140 (213,078)
Citation 2

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American options pricing, variance constraint, numerical change of measure, implied volatility, S&P 100 Index put, canonical least-squares Monte Carlo

13.

The Black-Scholes-Merton Dual Equation

Number of pages: 44 Posted: 29 Apr 2018 Last Revised: 02 Aug 2019
Shuxin Guo and Qiang Liu
Southwest Jiaotong University - School of Economics & Management and Southwestern University of Finance and Economics - School of Finance
Downloads 88 (296,420)

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Black-Scholes-Merton dual equation; put-call equality; payoffs of homogeneous of degree one; static hedge with short-maturity options; hedge accuracy

14.

Volatility-Managed Portfolios: True Market-Timing with a False Theory?

Number of pages: 30 Posted: 02 Jun 2019
Shuxin Guo and Qiang Liu
Southwest Jiaotong University - School of Economics & Management and Southwestern University of Finance and Economics - School of Finance
Downloads 72 (333,760)
Citation 1

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volatility-managed portfolio; market-timing strategy; Moreira-Muir alpha; compounding-based VMP theory

15.

Simulated Conditional Range Probabilities: An Excellent Approximation for the m out of n Day Provision

Number of pages: 32 Posted: 14 Nov 2014 Last Revised: 08 Oct 2015
Shuxin Guo and Qiang Liu
Southwest Jiaotong University - School of Economics & Management and Southwestern University of Finance and Economics - School of Finance
Downloads 47 (410,141)

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m out of n day provision; simulated conditional range probabilities; path-dependent option; consecutive m out of n day provision; 20 out of 30 day provision

16.

An Analytical Formula for Vix Futures and Its Applications: Error Corrections and Replication

Number of pages: 23 Posted: 19 Dec 2018 Last Revised: 23 Sep 2019
Qiang Liu and Shuxin Guo
Southwestern University of Finance and Economics - School of Finance and Southwest Jiaotong University - School of Economics & Management
Downloads 29 (486,343)

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VIX futures price formula, Heston-based Zhu-Lian approach, error corrections, empirical replication