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An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Yoon, Ji Hee; Jang, Bong-gyu; Roh, Kum-hwan - In: Operations research letters 39 (2011) 3, pp. 180-187
Persistent link: https://www.econbiz.de/10009160239
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An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Yoon, Ji Hee; Jang, Bong-Gyu; Roh, Kum-Hwan - In: Operations research letters 39 (2011) 3, pp. 180-188
Persistent link: https://www.econbiz.de/10009015563
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A reflected diffusion process in a regime-switching environment
Jang, Bong-Gyu; Shim, Gyoocheol - In: Operations research letters 36 (2008) 2, pp. 177-183
Persistent link: https://www.econbiz.de/10007915372
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Optimal retirement strategy with a negative wealth constraint
Park, Seyoung; Jang, Bong-gyu - In: Operations research letters 42 (2014) 3, pp. 208-212
Persistent link: https://www.econbiz.de/10010383190
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A reflected diffusion process in a regime-switching environment
Jang, Bong-gyu; Shim, Gyoocheol - In: Operations research letters 36 (2008) 2, pp. 177-183
Persistent link: https://www.econbiz.de/10003773586
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Annuitization and asset allocation with borrowing constraint
Kim, Jin Gi; Jang, Bong-Gyu; Park, Seyoung - In: Operations research letters 48 (2020) 5, pp. 549-551
Persistent link: https://www.econbiz.de/10012303406