Min Dai
Min Dai
Professor, Dept of Mathematics, NUS
Verified email at nus.edu.sg - Homepage
Cited by
Cited by
Guaranteed minimum withdrawal benefit in variable annuities
M Dai, Y Kuen Kwok, J Zong
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
M Dai, F Yi
Journal of Differential Equations 246 (4), 1445-1469, 2009
Trend following trading under a regime switching model
M Dai, Q Zhang, QJ Zhu
SIAM Journal on Financial Mathematics 1 (1), 780-810, 2010
Convergence of binomial tree methods for European/American path-dependent options
L Jiang, M Dai
SIAM Journal on Numerical Analysis 42 (3), 1094-1109, 2004
Penalty methods for continuous-time portfolio selection with proportional transaction costs
M Dai, Y Zhong
Journal of Computational Finance 13 (3), 1-31, 2010
Finite horizon optimal investment and consumption with transaction costs
M Dai, L Jiang, P Li, F Yi
SIAM Journal on Control and Optimization 48 (2), 1134-1154, 2009
Continuous-time Markowitz's model with transaction costs
M Dai, ZQ Xu, XY Zhou
SIAM Journal on Financial Mathematics 1 (1), 96-125, 2010
Optimal shouting policies of options with strike reset right
M Dai, YK Kwok, L Wu
Mathematical Finance 14 (3), 383-401, 2004
Intensity-based framework and penalty formulation of optimal stopping problems
M Dai, YK Kwok, H You
Journal of Economic Dynamics and Control 31 (12), 3860-3880, 2007
Optimal redeeming strategy of stock loans with finite maturity
M Dai, ZQ Xu
Mathematical Finance 21 (4), 775-793, 2011
Characterization of optimal stopping regions of American Asian and lookback options
M Dai, YK Kwok
Mathematical Finance 16 (1), 63-82, 2006
Quanto lookback options
M Dai, HY Wong, YK Kwok
Mathematical Finance 14 (3), 445-467, 2004
American options with lookback payoff
M Dai, YK Kwok
SIAM Journal on Applied Mathematics 66 (1), 206-227, 2005
Knock‐in American options
M Dai, YK Kwok
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2004
Portfolio choice with market closure and implications for liquidity premia
M Dai, P Li, H Liu, Y Wang
Management Science 62 (2), 368-386, 2016
Buy low and sell high
M Dai, H Jin, Y Zhong, XY Zhou
Contemporary quantitative finance, 317-333, 2010
A dynamic mean-variance analysis for log returns
M Dai, YX Hanqing Jin, Steven Kou
Management Science 67 (2), 1093–1108, 2021
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
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
Illiquidity, position limits, and optimal investment for mutual funds
M Dai, H Jin, H Liu
Journal of Economic Theory 146 (4), 1598-1630, 2011
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