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A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015188448
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Pricing of American timer options
Ha, Mijin; Park, Sangmin; Yoon, Ji-Hun; Kim, Donghyun - In: The North American journal of economics and finance : a … 78 (2025), pp. 1-17
Persistent link: https://www.econbiz.de/10015434420
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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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A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong; Sotheara Veng; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: Computational economics 59 (2022) 3, pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229