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Minqiang Li

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First Name:Minqiang
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Last Name:Li
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RePEc Short-ID:pli360
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  1. Li, Minqiang, 2014. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper 54595, University Library of Munich, Germany.
  2. Li, Minqiang, 2014. "Aumann and Serrano's Economic Index of Risk for Sums of Gambles," MPRA Paper 55697, University Library of Munich, Germany.
  3. Li, Minqiang, 2014. "Analytic Approximation of Finite-Maturity Timer Option Prices," MPRA Paper 54597, University Library of Munich, Germany.
  4. Li, Minqiang & Mercurio, Fabio, 2013. "Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models," MPRA Paper 47465, University Library of Munich, Germany.
  5. Li, Minqiang, 2013. "On Aumann and Serrano's Economic Index of Risk," MPRA Paper 47466, University Library of Munich, Germany.
  6. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
  7. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  8. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany.
  9. Minqiang Li, Li, 2009. "Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison," MPRA Paper 15018, University Library of Munich, Germany.
  10. Li, Minqiang & Deng, Shijie & Zhou, Jieyun, 2008. "Multi-asset Spread Option Pricing and Hedging," MPRA Paper 8259, University Library of Munich, Germany.
  11. Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
  12. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany.
  13. Li, Minqiang, 2008. "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper 6867, University Library of Munich, Germany.
  14. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
  15. Li, Minqiang, 2007. "The Impact of Return Nonnormality on Exchange Options," MPRA Paper 7020, University Library of Munich, Germany.
  1. Minqiang Li & Fabio Mercurio, 2015. "Analytic Approximation of Finite‐Maturity Timer Option Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(3), pages 245-273, 03.
  2. Minqiang Li, 2014. "On Aumann and Serrano’s economic index of risk," Economic Theory, Springer, vol. 55(2), pages 415-437, February.
  3. Minqiang Li & Fabio Mercurio, 2014. "Closed-Form Approximation Of Perpetual Timer Option Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1450026-1-1.
  4. Li, Minqiang, 2013. "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 128-139.
  5. Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
  6. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
  7. Li, Minqiang, 2010. "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 132-157, February.
  8. Minqiang Li & Jieyun Zhou & Shi-Jie Deng, 2010. "Multi-asset spread option pricing and hedging," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 305-324.
  9. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
  10. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
  11. Minqiang Li, 2008. "The impact of return nonnormality on exchange options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(9), pages 845-870, 09.
  12. Li, Minqiang & Pearson, Neil D. & Poteshman, Allen M., 2004. "Conditional estimation of diffusion processes," Journal of Financial Economics, Elsevier, vol. 74(1), pages 31-66, October.
15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2009-09-19
  2. NEP-ECM: Econometrics (2) 2008-10-21 2011-10-09
  3. NEP-FMK: Financial Markets (2) 2008-04-21 2008-11-18
  4. NEP-IFN: International Finance (1) 2008-02-09
  5. NEP-MIC: Microeconomics (1) 2013-06-16
  6. NEP-ORE: Operations Research (4) 2008-10-21 2009-10-10 2013-06-16 2014-03-22. Author is listed
  7. NEP-RMG: Risk Management (1) 2014-05-09

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