| Time‐Changed Ornstein–Uhlenbeck Processes and Their Applications in Commodity Derivative Models L Li, V Linetsky Mathematical Finance 24 (2), 289-330, 2014 | 90 | 2014 |
| Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing L Li, G Zhang Mathematical Finance 28 (3), 877-919, 2018 | 56 | 2018 |
| Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior L Li, G Zhang Operations Research 67 (2), 407-427, 2019 | 55 | 2019 |
| Optimal stopping and early exercise: an eigenfunction expansion approach L Li, V Linetsky Operations Research 61 (3), 625-643, 2013 | 55 | 2013 |
| Evaluating callable and putable bonds: an eigenfunction expansion approach D Lim, L Li, V Linetsky Journal of Economic Dynamics and Control 36 (12), 1888-1908, 2012 | 46 | 2012 |
| 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 | 43 | 2017 |
| Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach L Li, V Linetsky Finance and Stochastics 19 (4), 941-977, 2015 | 42 | 2015 |
| Additive subordination and its applications in finance J Li, L Li, R Mendoza-Arriaga Finance and Stochastics 20 (3), 589-634, 2016 | 35 | 2016 |
| Modelling electricity prices: a time change approach L Li, R Mendoza-Arriaga, Z Mo, D Mitchell Quantitative Finance 16 (7), 1089-1109, 2016 | 28 | 2016 |
| Pricing American drawdown options under Markov models X Zhang, L Li, G Zhang European Journal of Operational Research 293 (3), 1188-1205, 2021 | 26 | 2021 |
| Option pricing in some non-Levy jump models L Li, G Zhang SIAM Journal on Scientific Computing 38 (4), B539-B569, 2016 | 25 | 2016 |
| Markov chain approximation of one-dimensional sticky diffusions C Meier, L Li, G Zhang Advances in Applied Probability 53 (2), 335-369, 2021 | 19 | 2021 |
| Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market B Wu, L Li Journal of Economic Dynamics and Control 158, 104787, 2024 | 17 | 2024 |
| 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 | 17 | 2022 |
| A general method for analysis and valuation of drawdown risk G Zhang, L Li Journal of Economic Dynamics and Control 152, 104669, 2023 | 16* | 2023 |
| Reinforcement Learning for Continuous-Time Optimal Execution: Actor-Critic Algorithm and Error Analysis B Wang, X Gao, L Li Available at SSRN 4378950, 2023 | 16 | 2023 |
| Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models L Li, R Mendoza-Arriaga Operations Research Letters 41 (5), 521-525, 2013 | 16 | 2013 |
| 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 | 15 | 2016 |
| A general approach for Parisian stopping times under Markov processes G Zhang, L Li Finance and Stochastics 27 (3), 769-829, 2023 | 14 | 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 | 14 | 2023 |
