| Closed-form approximations for spread option prices and greeks M Li, S Deng, J Zhou Journal of Derivatives 15 (3), 58-80, 2008 | 121 | 2008 |
| Approximate inversion of the Black-Scholes formula using rational functions M Li European Journal of Operational Research 185 (2), 743-759, 2008 | 70 | 2008 |
| Multi-asset spread option pricing and hedging M Li, J Zhou, SJ Deng Quantitative Finance 10 (3), 305-324, 2010 | 65 | 2010 |
| Conditional estimation of diffusion processes M Li, ND Pearson, AM Poteshman Journal of Financial Economics 74 (1), 31-66, 2004 | 45* | 2004 |
| A'Horse Race'Among Competing Option Pricing Models Using S&P 500 Index Options M Li, N Pearson Available at SSRN 952770, 2007 | 35 | 2007 |
| Analytical approximations for the critical stock prices of American options: a performance comparison M Li Review of Derivatives Research 13, 75-99, 2010 | 32 | 2010 |
| Reduce computation in profile empirical likelihood method M Li, L Peng, Y Qi Canadian Journal of Statistics 39 (2), 370-384, 2011 | 27 | 2011 |
| A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation M Li Journal of Economic Dynamics and Control 34 (2), 132-157, 2010 | 26* | 2010 |
| An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility M Li, K Lee Quantitative Finance 11 (8), 1245-1269, 2011 | 25 | 2011 |
| The impact of return nonnormality on exchange options M Li Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2008 | 23 | 2008 |
| Price deviations of S&P 500 index options from the Black-Scholes formula follow a simple pattern M Li, N Pearson AFA 2006 Boston Meetings Paper, 2004 | 19 | 2004 |
| Jumping with default: wrong-way risk modelling for CVA M Li, F Mercurio Risk Magazine, November, 2015 | 17 | 2015 |
| Closed-form Approximation of Perpetual Timer Option Prices M LI, F MERCURIO International Journal of Theoretical and Applied Finance 17 (04), 2014 | 17* | 2014 |
| Analytic approximation of finite‐maturity timer option prices M Li, F Mercurio Journal of Futures Markets, 2014 | 15 | 2014 |
| A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes M Li Review of Derivatives Research 13, 177-217, 2010 | 13 | 2010 |
| The Garch linear SDE: explicit formulas and the pricing of a quanto CDS M Li, F Mercurio, S Resnick Available at SSRN 3188272, 2018 | 9 | 2018 |
| Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment M Li, F Mercurio Available at SSRN 2605648, 2015 | 9 | 2015 |
| Empirical likelihood test via estimating equations M Li, L Peng Journal of statistical planning and inference 141 (7), 2428-2439, 2011 | 8 | 2011 |
| On Aumann and Serrano’s economic index of risk M Li Economic Theory 55 (2), 415-437, 2014 | 6 | 2014 |
| The basis goes stochastic: A jump-diffusion model for financial risk applications M Li, F Mercurio Available at SSRN 2827769, 2016 | 5 | 2016 |
Liang PengDepartment of Risk Management and Insurance, Robinson College of Business, Georgia State UniversityVerified email at gsu.edu
