Minqiang Li : Citation Profile


Are you Minqiang Li?

5

H index

3

i10 index

88

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

RESEARCH ACTIVITY:

   11 years (2004 - 2015). See details.
   Cites by year: 8
   Journals where Minqiang Li has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 12 (12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli360
   Updated: 2020-10-24    RAS profile: 2018-03-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Minqiang Li.

Is cited by:

Arismendi Zambrano, Juan (4)

Driscoll, John (3)

Laibson, David (3)

Agarwal, Sumit (3)

Prokopczuk, Marcel (2)

Werding, Martin (2)

Fabozzi, Frank (2)

Oosterlee, Cornelis (1)

Raffin, Natacha (1)

Gnoatto, Alessandro (1)

Olkhov, Victor (1)

Cites to:

Ait-Sahalia, Yacine (10)

Campbell, John (7)

Scholes, Myron (5)

merton, robert (5)

Hansen, Lars (5)

Constantinides, George (5)

gao, bin (4)

Jarrow, Robert (4)

Cochrane, John (4)

White, Alan (4)

Wu, Liuren (4)

Main data


Where Minqiang Li has published?


Journals with more than one article published# docs
Journal of Futures Markets3
Quantitative Finance2
Review of Derivatives Research2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany15

Recent works citing Minqiang Li (2020 and 2019)


YearTitle of citing document
2020A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s0096300320304318.

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2019Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. (2019). McLeish, Don L ; Boudreault, Mathieu ; Amaya, Diego. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:297-313.

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2020Classical Option Pricing and Some Steps Further. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:99918.

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2019Model-free stochastic collocation for an arbitrage-free implied volatility: Part I. (2019). Oosterlee, Cornelis W ; Floch, Fabien. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00238-x.

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2020Depth-based weighted jackknife empirical likelihood for non-smooth U-structure equations. (2020). Sang, Yongli ; Zhao, Yichuan ; Dang, Xin. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:2:d:10.1007_s11749-019-00667-1.

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2019Valuation and applications of compound basket options. (2019). Bae, Kwangil. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:704-720.

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Works by Minqiang Li:


YearTitleTypeCited
2010A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation In: Journal of Economic Dynamics and Control.
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article4
2008A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 4
paper
2008Approximate inversion of the Black-Scholes formula using rational functions In: European Journal of Operational Research.
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article9
2013An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil In: Journal of Empirical Finance.
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article0
2004Conditional estimation of diffusion processes In: Journal of Financial Economics.
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article11
2010Analytical approximations for the critical stock prices of American options: a performance comparison In: Review of Derivatives Research.
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article1
2009Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2010A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes In: Review of Derivatives Research.
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article1
2009A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2008Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern In: MPRA Paper.
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paper0
2010Asset Pricing - A Brief Review In: MPRA Paper.
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paper2
2011Reduce computation in profile empirical likelihood method In: MPRA Paper.
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paper4
2013Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models In: MPRA Paper.
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paper1
2013On Aumann and Serranos Economic Index of Risk In: MPRA Paper.
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paper2
2014On Aumann and Serrano’s economic index of risk.(2014) In: Economic Theory.
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This paper has another version. Agregated cites: 2
article
2014Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach In: MPRA Paper.
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paper1
2015Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach.(2015) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 1
article
2014Analytic Approximation of Finite-Maturity Timer Option Prices In: MPRA Paper.
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paper4
2015Analytic Approximation of Finite‐Maturity Timer Option Prices.(2015) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 4
article
2014Aumann and Serranos Economic Index of Risk for Sums of Gambles In: MPRA Paper.
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paper0
2014Aumann and Serranos economic index of risk for sums of gambles.(2014) In: Cogent Economics & Finance.
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This paper has another version. Agregated cites: 0
article
2008An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility In: MPRA Paper.
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paper3
2011An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility.(2011) In: Quantitative Finance.
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This paper has another version. Agregated cites: 3
article
2008Closed-Form Approximations for Spread Option Prices and Greeks In: MPRA Paper.
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paper22
2007The Impact of Return Nonnormality on Exchange Options In: MPRA Paper.
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paper5
2008The impact of return nonnormality on exchange options.(2008) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 5
article
2008Multi-asset Spread Option Pricing and Hedging In: MPRA Paper.
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paper15
2010Multi-asset spread option pricing and hedging.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 15
article
2014CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article3

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