Minqiang Li

Bloomberg LP

731 Lexington Avenue

New York, NY 10022

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 6,689

in Total Papers Downloads

8,563

SSRN CITATIONS
Rank 27,714

SSRN RANKINGS

Top 27,714

in Total Papers Citations

20

CROSSREF CITATIONS

13

Scholarly Papers (18)

1.

You Don't Have to Bother Newton for Implied Volatility

Number of pages: 28 Posted: 20 Dec 2006
Minqiang Li
Bloomberg LP
Downloads 3,173 (4,732)

Abstract:

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Implied volatility, Black-Scholes formula, rational approximation

2.
Downloads 1,112 ( 24,911)
Citation 3

Multi-Asset Spread Option Pricing and Hedging

Number of pages: 40 Posted: 31 Oct 2007
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology
Downloads 1,112 (24,507)
Citation 3

Abstract:

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Multi-asset spread options, boundary approximation, Kirk approximation

Multi-Asset Spread Option Pricing and Hedging

Quantitative Finance, Vol. 10, No. 3, pp. 305–324, 2010
Posted: 13 Mar 2010
Minqiang Li, Jieyun Zhou and Shijie Deng
Bloomberg LP, Georgia Institute of Technology and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

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Multi-asset spread options, Second-order boundary approximation, Closed-form approximation

3.

A 'Horse Race' Among Competing Option Pricing Models Using S&P 500 Index Options

Number of pages: 34 Posted: 24 Mar 2008
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 932 (32,024)
Citation 9

Abstract:

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option pricing models, performance comparison, implied skew

4.

An Adaptive Successive Over-Relaxation Method for Computing the Black-Scholes Implied Volatility

Number of pages: 57 Posted: 15 Nov 2007
Minqiang Li and Kyuseok Lee
Bloomberg LP and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 833 (37,398)
Citation 5

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Successive over-relaxation, Black-Scholes formula, Implied volatility, Convergence acceleration, Rational approximation

5.

Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment

Number of pages: 33 Posted: 14 May 2015 Last Revised: 23 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 723 (45,326)
Citation 4

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Wrong-way risk; Credit value adjustment; jump diffusion model; default

6.

Conditional Estimation of Diffusion Processes

Number of pages: 47 Posted: 24 Jun 2003
Bloomberg LP, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 307 (127,043)
Citation 5

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7.

The Basis Goes Stochastic: A Jump-Diffusion Model for Financial Risk Applications

Number of pages: 18 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 271 (144,789)
Citation 1

Abstract:

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LIBOR-OIS basis, jump-diffusion dynamics, zero-coupon swap, swap gap risk

The Impact of Return Nonnormality on Exchange Options

Number of pages: 24 Posted: 28 Mar 2007
Minqiang Li
Bloomberg LP
Downloads 263 (148,636)
Citation 2

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multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula

The Impact of Return Nonnormality on Exchange Options

Journal of Futures Markets, Vol. 28, No. 9, pp. 845-870, 2008
Posted: 07 Feb 2008 Last Revised: 08 Oct 2009
Minqiang Li
Bloomberg LP

Abstract:

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multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula

9.

Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models

Number of pages: 44 Posted: 04 Apr 2013
Minqiang Li and Fabio Mercurio
Bloomberg LP and Bloomberg L.P.
Downloads 232 (168,737)
Citation 2

Abstract:

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Timer options, Asymptotic expansion, Closed-form approximation, Perturbation

10.

The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS

Number of pages: 18 Posted: 25 Jun 2018
Minqiang Li, Fabio Mercurio and Serge Resnick
Bloomberg LP, Bloomberg L.P. and Independent
Downloads 189 (204,095)

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linear SDE, chaos expansion, PDE, perturbation approach, quanto CDS

Downloads 155 (242,229)
Citation 2

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American option, Analytical approximation, Critical stock price

Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison

Review of Derivatives Research, Vol. 13, No. 1, pp. 75-99, 2010
Posted: 15 Mar 2010
Minqiang Li
Bloomberg LP

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American option, Analytical approximation, Critical stock price

Downloads 136 (269,609)
Citation 1

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American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston's Stochastic volatility model

A Quasi-Analytical Interpolation Method for Pricing American Options Under General Multi-Dimensional Diffusion Processes

Review of Derivatives Research, Vol. 13, No. 2, pp. 177-217, 2010
Posted: 09 Jun 2010
Minqiang Li
Bloomberg LP

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American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston’s Stochastic volatility model

Downloads 107 (321,480)
Citation 4

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Damped diffusion, asset price bubbles, martingale pricing, maximum likelihood estimation, parametric specification test

A Damped Diffusion Framework for Financial Modeling and Closed-Form Maximum Likelihood Estimation

Journal of Economic Dynamics and Control, Vol. 34, No. 2, 2010
Posted: 05 Feb 2010
Minqiang Li
Bloomberg LP

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Damped diffusion, Asset Price Bubbles, Martingale Pricing, Maximum Likelihood Estimation

On Aumann and Serrano's Economic Index of Risk

Number of pages: 36 Posted: 04 Apr 2013
Minqiang Li
Bloomberg LP
Downloads 57 (465,646)

Abstract:

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Risk index, Attractiveness index, Duality, Additive gambles, Multiplicative gambles

On Aumann and Serrano's Economic Index of Risk

Economic Theory, Vol. 55, No. 2, 2014
Posted: 17 Feb 2014
Minqiang Li
Bloomberg LP

Abstract:

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Index of Risk, Duality, Gamble

15.

Reduce Computation in Profile Empirical Likelihood Method

Number of pages: 38 Posted: 27 Apr 2013
Minqiang Li, Liang Peng and Yongcheng Qi
Bloomberg LP, Georgia Institute of Technology and University of Minnesota - Duluth
Downloads 42 (521,394)

Abstract:

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profile empirical likelihood, estimating equation, Jackknife

16.
Downloads 31 (578,297)

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Volatility Indices, Continuous-time Dynamics, Maximum Likelihood Estimation, Parametric Specification Test

17.

Approximate Inversion of the Black-Scholes Formula Using Rational Functions

European Journal of Operational Research, Vol. 185, No. 2, pp. 743-759, March 2008
Posted: 12 Feb 2008
Minqiang Li
Bloomberg LP

Abstract:

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Implied volatility, Black-Scholes formula, Rational functions

Closed-Form Approximations for Spread Option Prices and Greeks

Posted: 20 Dec 2006 Last Revised: 21 May 2019
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

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Spread option, Closed-form approximation, Greeks

Closed-Form Approximations for Spread Option Prices and Greeks

Journal of Derivatives, Vol. 15, No. 3, pp. 58-80, 2008
Posted: 12 Feb 2008 Last Revised: 12 Oct 2009
Minqiang Li, Shijie Deng and Jieyun Zhou
Bloomberg LP, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Georgia Institute of Technology

Abstract:

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Spread options, exercise boundary, closed-form approximation

Other Papers (1)

Total Downloads: 674
1.

Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern

AFA 2006 Boston Meetings Paper
Number of pages: 55 Posted: 21 Mar 2005 Last Revised: 06 Oct 2009
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 674

Abstract:

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Implied volatility, volatility skew, index options