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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549952
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Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung; Kim, Young Shin; Mitov, Ivan - In: Journal of banking & finance 58 (2015), pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Quanto option pricing with Lévy models
Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
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Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
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Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International review of financial analysis 31 (2014), pp. 101-108
Persistent link: https://www.econbiz.de/10010461532