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A Note on the Option Price and...
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The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk
;
Wu, Lixin
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
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A note on the option price and "mass at zero in the uncorrelated SABR model and implied volatility asymptotics"
Choi, Jaehyuk
;
Wu, Lixin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1083-1086
Persistent link: https://www.econbiz.de/10012588019
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3
Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
Choi, Jaehyuk
- In:
Operations research letters : a journal of INFORMS …
60
(
2025
),
pp. 1-6
Persistent link: https://www.econbiz.de/10015359240
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4
BitMEX bitcoin derivatives : Price discovery, informational efficiency, and hedging effectiveness
Alexander, Carol
;
Choi, Jaehyuk
;
Park, Heungju
;
Sohn, …
- In:
Journal of Futures Markets
40
(
2019
)
1
,
pp. 23-43
Persistent link: https://www.econbiz.de/10012189086
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Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
Choi, Jaehyuk
- In:
Journal of Futures Markets
38
(
2018
)
6
,
pp. 627-644
Persistent link: https://www.econbiz.de/10012082105
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6
Hyperbolic normal stochastic volatility model
Choi, Jaehyuk
;
Liu, Chenru
;
Seo, Byoung Ki
- In:
Journal of Futures Markets
39
(
2018
)
2
,
pp. 186-204
Persistent link: https://www.econbiz.de/10012082159
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7
Yield spread selection in predicting recession probabilities
Choi, Jaehyuk
;
Ge, Desheng
;
Kang, Kyu Ho
;
Sohn, Sungbin
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1772-1785
Persistent link: https://www.econbiz.de/10014432757
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Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk
;
Shin, Sungchan
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 962-982
Persistent link: https://www.econbiz.de/10011583816
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9
Price discovery and microstructure in ether spot and derivative markets
Alexander, Carol
;
Choi, Jaehyuk
;
Massie, Hamish R. A.
; …
- In:
International review of financial analysis
71
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012435768
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10
The financial value of the within-government political network : evidence from Chinese municipal corporate bonds
Choi, Jaehyuk
;
Lu, Lei
;
Park, Heungju
;
Sohn, Sungbin
- In:
Finance research letters
47
(
2022
)
1
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pp. 1-7
Persistent link: https://www.econbiz.de/10013457352
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