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Valuing options with hybrid default risk under the stochastic volatility model
Yun, Ana; Kim, Geonwoo - In: Finance research letters 72 (2025), pp. 1-11
Persistent link: https://www.econbiz.de/10015207074
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Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
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Closed-form solutions for valuing partial lookback options with random initiation
Kim, Geonwoo; Jeon, Junkee - In: Finance research letters 24 (2018), pp. 321-327
Persistent link: https://www.econbiz.de/10011982667
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Pricing European continuous-installment strangle options
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012204447
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Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
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Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
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Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility
Jeon, Jaegi; Kim, Geonwoo; Huh, Jeonggyu - In: Journal of Futures Markets 41 (2021) 5, pp. 559-576
Persistent link: https://www.econbiz.de/10012535198
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105