Weiping Li

Oklahoma State University

Professor of Mathematics

Stillwater, OK

United States

Southwest Jiaotong University

University Chair Professr

No. 111, Sec. North 1, Er-Huan Rd.

Chengdu, Sichuan 610031

China

SCHOLARLY PAPERS

10

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1,507

CITATIONS
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Top 44,970

in Total Papers Citations

3

Scholarly Papers (10)

1.

Displaced Jump-Diffusion Option Valuation

Journal of Derivatives, Vol. 17, No. 2, 2009
Number of pages: 37 Posted: 25 Apr 2008 Last Revised: 12 Oct 2009
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Oklahoma State University
Downloads 303 (93,849)

Abstract:

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2.

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
Oklahoma State University and Oklahoma State University, Stillwater
Downloads 267 (107,459)
Citation 1

Abstract:

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3.

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
Oklahoma State University, Stillwater - College of Business Administration, Oklahoma State University, Stillwater and Oklahoma State University
Downloads 230 (125,195)
Citation 2

Abstract:

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

4.

The Impact of Computational Error on the Volatility Smile

Number of pages: 41 Posted: 04 Apr 2013
Louisiana State University, Baton Rouge - Department of Finance, Kent State University - Department of Finance, Oklahoma State University and Kent State University
Downloads 191 (149,391)

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

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
Oklahoma State University
Downloads 104 (243,838)

Abstract:

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

6.

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 Oklahoma State University
Downloads 101 (248,859)

Abstract:

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7.

Pricings and Hedgings of the Perpetual Russian Options

Number of pages: 19 Posted: 21 Oct 2011
Weiping Li and Su
Oklahoma State University and Oklahoma State University
Downloads 88 (272,080)

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

8.

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
Oklahoma State University and Oklahoma State University - Stillwater - Spears School of Business
Downloads 85 (277,988)

Abstract:

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stochastic correlation, stochastic volatility, equity index option

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
Oklahoma State University and Southwest Jiaotong University
Downloads 78 (292,641)

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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
Oklahoma State University and Oklahoma State University
Downloads 60 (337,152)

Abstract:

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