Weiping Li

Civil Aviation Flight University of China

University Chair Professr

46 Nanchang road

Guanghan, Sichuan 618307

China

Oklahoma State University

Professor of Mathematics

Stillwater, OK

United States

  • Civil Aviation Flight University of China

  • Oklahoma State University

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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1.

Jump-Diffusion Models with Correlated Brownian Motion and Compound Poisson Processes

Number of pages: 30 Posted: 14 Nov 2010
Weiping Li and Timothy L. Krehbiel
Civil Aviation Flight University of China and Oklahoma State University, Stillwater
Downloads 391 (122,293)
Citation 2

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2.

Expected Returns, Risk Premia, and Volatility Surfaces Implicit in Option Market Prices

Number of pages: 16 Posted: 21 Mar 2008 Last Revised: 14 Nov 2010
Antonio Camara, Timothy L. Krehbiel and Weiping Li
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Civil Aviation Flight University of China
Downloads 249 (197,096)
Citation 2

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Jump-diffusion, option prices, correlated jumps and diffusions, expected returns, risk premium, smile effect, term structure of implied volatilities

3.

The Impact of Computational Error on the Volatility Smile

Number of pages: 41 Posted: 04 Apr 2013
Don M. Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy
Louisiana State University, Baton Rouge - Department of Finance, Butler University - Lacy School of Business, Civil Aviation Flight University of China and Kent State University
Downloads 246 (199,450)
Citation 2

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Black-Scholes-Merton model, option pricing, implied volatility, volatility, volatility smile, computational finance, options

4.

Jump-Diffusion Option Pricing without IID Jumps

Number of pages: 68 Posted: 14 Oct 2008
Antonio Camara and Weiping Li
Oklahoma State University, Stillwater - College of Business Administration and Civil Aviation Flight University of China
Downloads 131 (345,862)
Citation 1

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5.

A Default Risk Model Under Macroeconomic Conditions

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 24 Posted: 01 Sep 2012 Last Revised: 27 Feb 2013
Weiping Li
Civil Aviation Flight University of China
Downloads 128 (351,860)

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Macroeconomic Conditions, Markov Chain, defaultable bond, term structure of interest rate, default trigger, fundamental system of PDE's

6.

Investor Sentiment and Microstructure Information in Index Futures Markets

Number of pages: 42 Posted: 26 Sep 2019
Weiping Li and Liu Wen Wen
Civil Aviation Flight University of China and Southwest Jiaotong University
Downloads 123 (362,469)

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Sentiment Index; VPIN; DPIN; Granger Casualty; Chinese Futures Market

7.

All Risks Matter

25th Australasian Finance and Banking Conference 2012
Number of pages: 54 Posted: 12 Jul 2012 Last Revised: 14 Jul 2012
Weiping Li and Tim Krehbiel
Civil Aviation Flight University of China and Oklahoma State University - Stillwater - Spears School of Business
Downloads 107 (400,639)

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stochastic correlation, stochastic volatility, equity index option

8.

Pricings and Hedgings of the Perpetual Russian Options

Number of pages: 19 Posted: 21 Oct 2011
Weiping Li and Su
Civil Aviation Flight University of China and Oklahoma State University
Downloads 105 (405,888)

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Perpetual Russian Option, Optimal Stopping Time, Hedge, Geometric Brownian Motion

9.

Volatility and Returns of the New Third Board Market in China

29th Australasian Finance and Banking Conference 2016
Number of pages: 68 Posted: 30 Mar 2016
Weiping Li and Gaoxiu Qiao
Civil Aviation Flight University of China and Southwest Jiaotong University
Downloads 97 (428,652)
Citation 2

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Volatility, Stock Returns, New Third Board in China

10.

A Weak Convergence for Approximation of American Option Prices

Number of pages: 34 Posted: 09 Feb 2010
Weiping Li and Mei Xing
Civil Aviation Flight University of China and Oklahoma State University
Downloads 71 (516,527)

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American option, convergence in distribution, Lévy process, Skorokhod representation theorem

11.

Displaced Jump-Diffusion Option Valuation

Journal of Derivatives, Vol. 17, No. 2, 2009, https://doi.org/10.3905/JOD.2009.17.2.041
Posted: 25 Apr 2008 Last Revised: 21 May 2019
Antonio Camara, Timothy L. Krehbiel and Weiping Li
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Civil Aviation Flight University of China

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