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Min Dai
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Year
A dynamic mean-variance analysis for log returns
M Dai, H Jin, S Kou, Y Xu
Management Science 67 (2), 1093–1108, 2021
842021
A closed-form solution for perpetual American floating strike lookback options
M Dai
Journal of Computational Finance, Vol. 4, No. 2, pp. 63-68, Winter 2000/2001, 2001
282001
A lattice algorithm for pricing moving average barrier options
M Dai, P Li, JE Zhang
Journal of Economic Dynamics and Control 34 (3), 542-554, 2010
262010
A modified binomial tree method for currency lookback options
M Dai
Acta Mathematica Sinica 16 (3), 445-454, 2000
132000
A non-zero-sum game approach to convertible bonds: tax benefit, bankruptcy cost and early/late calls
N Chen, M Dai, X Wan
Mathematical Finance 23 (1), 57-93, 2013
362013
A parabolic variational inequality arising from the valuation of strike reset options
Z Yang, F Yi, M Dai
Journal of Differential Equations 230 (2), 481-501, 2006
122006
A q Theory of Internal Capital Markets
M Dai, X Giroud, W Jiang, N Wang
Journal of Finance 79 (2), 1147-1197, 2024
142024
A rational theory for disposition effects
M Dai, Y Jiang, H Liu, J Xu
Review of Economic Dynamics 47, 131-157, 2023
13*2023
A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
CY Min Dai, Steven Kou
Mathematics of Operations Research 47 (3), 1707-1730, 2022
22022
American options with lookback payoff
M Dai, YK Kwok
SIAM Journal on Applied Mathematics 66 (1), 206-227, 2005
442005
Asymptotic analysis of long-term investment with two illiquid and correlated assets
X Chen, M Dai, W Jiang, C Qin
Mathematical Finance 32 (4), 1133-1169, 2022
42022
Asymptotics for Merton problem with small capital gain tax and interest rate
X Chen, M Dai
Preprint, 2013
32013
Buy low and sell high
M Dai, H Jin, Y Zhong, XY Zhou
Contemporary quantitative finance, 317-333, 2010
372010
Buy low and sell high, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, edited by Chiarella, Carl and Novikov, Alexander
M Dai, H Jin, Y Zhong, XY Zhou
Springer, 2010
92010
Calibration of stochastic volatility models: A Tikhonov regularization approach
M Dai, L Tang, X Yue
Journal of Economic Dynamics and Control 64, 66-81, 2016
122016
Characterization of optimal stopping regions of American Asian and lookback options
M Dai, YK Kwok
Mathematical Finance 16 (1), 63-82, 2006
452006
Characterization of optimal strategy for multiasset investment and consumption with transaction Costs
X Chen, M Dai
SIAM Journal on Financial Mathematics 4 (1), 857–883, 2013
342013
Continuous-time Markowitz's model with transaction costs
M Dai, ZQ Xu, XY Zhou
SIAM Journal on Financial Mathematics 1 (1), 96-125, 2010
982010
Convergence analysis of binomial tree method for American-type path-dependent options
L Jiang, M Dai
Free Boundary Problems: Theory and Applications, I (China, 1999), GAKUTO …, 2000
102000
Convergence of binomial tree method for American options
L Jiang, M Dai
Partial Differential Equations and their Applications, edited by H. Chen and …, 1999
221999
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