| Error analysis of finite difference and Markov chain approximations for option pricing L Li, G Zhang Mathematical Finance 28 (3), 877-919, 2018 | 53 | 2018 |
| Analysis of Markov chain approximation for option pricing and hedging: Grid design and convergence behavior G Zhang, L Li Operations Research 67 (2), 407-427, 2019 | 51 | 2019 |
| Pure jump models for pricing and hedging VIX derivatives J Li, L Li, G Zhang Journal of Economic Dynamics and Control 74, 28-55, 2017 | 40 | 2017 |
| Option pricing in some non-Lévy jump models L Li, G Zhang SIAM Journal on Scientific Computing 38 (4), B539-B569, 2016 | 25 | 2016 |
| Pricing American drawdown options under Markov models X Zhang, L Li, G Zhang European Journal of Operational Research 293 (3), 1188-1205, 2021 | 23 | 2021 |
| The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market X Zhang, E Bouri, Y Xu, G Zhang Energy Economics 109, 105950, 2022 | 19 | 2022 |
| Markov chain approximation of one-dimensional sticky diffusions C Meier, L Li, G Zhang Advances in Applied Probability 53 (2), 335-369, 2021 | 18 | 2021 |
| Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients G Zhang, L Li SIAM Journal on Financial Mathematics 13 (3), 1144-1190, 2022 | 16 | 2022 |
| An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance L Li, X Qu, G Zhang Journal of computational and applied mathematics 294, 225-250, 2016 | 14 | 2016 |
| A general approach for Parisian stopping times under Markov processes G Zhang, L Li Finance and Stochastics 27 (3), 769-829, 2023 | 13 | 2023 |
| A general method for analysis and valuation of drawdown risk under Markov models G Zhang, L Li Available at SSRN 3817591, 2021 | 10 | 2021 |
| Probe of the electron correlation in sequential double ionization of helium by two-color attosecond pulses LY Peng, Z Zhang, WC Jiang, GQ Zhang, Q Gong Physical Review A 86 (6), 063401, 2012 | 10 | 2012 |
| Speed and duration of drawdown under general Markov models L Li, P Zeng, G Zhang Quantitative Finance, 1-20, 2024 | 9 | 2024 |
| Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation C Meier, L Li, G Zhang European Journal of Operational Research 305 (3), 1292-1308, 2023 | 9 | 2023 |
| Dissociative double ionization of CO 2 induced by intense femtosecond laser pulses C Wu, G Zhang, C Wu, Y Yang, X Liu, Y Deng, H Liu, Y Liu, Q Gong Physical Review A 85 (6), 063407, 2012 | 9 | 2012 |
| A general approach for lookback option pricing under Markov models G Zhang, L Li Quantitative Finance 23 (9), 1305-1324, 2023 | 8 | 2023 |
| A general method for analysis and valuation of drawdown risk G Zhang, L Li Journal of Economic Dynamics and Control 152, 104669, 2023 | 6 | 2023 |
| A two-step framework for arbitrage-free prediction of the implied volatility surface W Zhang, L Li, G Zhang Quantitative Finance 23 (1), 21-34, 2023 | 5 | 2023 |
| A Fourier transform method for solving backward stochastic differential equations Y Ge, L Li, G Zhang Methodology and Computing in Applied Probability, 1-28, 2022 | 5 | 2022 |
| Sinc approximation of multidimensional Hilbert transform and its applications J Chen, L Fan, L Li, G Zhang Available at SSRN 3091664, 2021 | 5 | 2021 |
