Year |
Citation |
Score |
2019 |
Li L, Mendoza-Arriaga R. Equivalent Measure Changes for Subordinate Diffusions Stochastic Models. 35: 357-390. DOI: 10.2139/Ssrn.2633817 |
0.765 |
|
2019 |
Zhang G, Li L. Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior Operations Research. 67: 407-427. DOI: 10.1287/Opre.2018.1791 |
0.33 |
|
2018 |
Li L, Zhang G. Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing Mathematical Finance. 28: 877-919. DOI: 10.1111/Mafi.12161 |
0.492 |
|
2017 |
Li J, Li L, Zhang G. Pure jump models for pricing and hedging VIX derivatives Journal of Economic Dynamics and Control. 74: 28-55. DOI: 10.1016/J.Jedc.2016.11.001 |
0.535 |
|
2016 |
Li L, Zhang G. Option Pricing in Some Non-Levy Jump Models Siam Journal On Scientific Computing. 38. DOI: 10.1137/15M1048926 |
0.632 |
|
2016 |
Li L, Mendoza-Arriaga R, Mo Z, Mitchell D. Modelling electricity prices: a time change approach Quantitative Finance. 1-21. DOI: 10.1080/14697688.2015.1125521 |
0.769 |
|
2016 |
Li L, Mendoza-Arriaga R, Mitchell D. Analytical representations for the basic affine jump diffusion Operations Research Letters. 44: 121-128. DOI: 10.1016/J.Orl.2015.12.003 |
0.761 |
|
2016 |
Li L, Qu X, Zhang G. An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance Journal of Computational and Applied Mathematics. 294: 225-250. DOI: 10.1016/J.Cam.2015.08.010 |
0.533 |
|
2016 |
Li J, Li L, Mendoza-Arriaga R. Additive subordination and its applications in finance Finance and Stochastics. 20: 589-634. DOI: 10.1007/S00780-016-0300-8 |
0.777 |
|
2015 |
Li L, Linetsky V. Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach Finance and Stochastics. 19: 941-977. DOI: 10.1007/S00780-015-0271-1 |
0.754 |
|
2014 |
Li L, Linetsky V. Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models Mathematical Finance. 24: 289-330. DOI: 10.1111/Mafi.12003 |
0.779 |
|
2014 |
Li L, Linetsky V. Optimal stopping in infinite horizon: An eigenfunction expansion approach Statistics & Probability Letters. 85: 122-128. DOI: 10.1016/J.Spl.2013.11.017 |
0.708 |
|
2013 |
Li L, Linetsky V. Optimal stopping and early exercise: An eigenfunction expansion approach Operations Research. 61: 625-643. DOI: 10.2139/Ssrn.2212656 |
0.747 |
|
2013 |
Li L, Mendoza-Arriaga R. Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models Operations Research Letters. 41: 521-525. DOI: 10.1016/J.Orl.2013.06.010 |
0.77 |
|
2012 |
Lim D, Li L, Linetsky V. Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach Journal of Economic Dynamics and Control. 36: 1888-1908. DOI: 10.1016/J.Jedc.2012.06.002 |
0.761 |
|
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