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 354 (116,617)
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 236 (177,020)
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 223 (186,666)
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 114 (324,523)
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 113 (326,528)

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

6.

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 92 (373,771)

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

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 89 (381,416)

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stochastic correlation, stochastic volatility, equity index option

8.

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 87 (386,755)

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

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 82 (400,596)
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 61 (469,218)

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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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