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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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On the stochastic elasticity of variance diffusions
Kim, Jeong-Hoon; Yoon, Ji-Hun; Lee, Jungwoo; Choi, Sun-Yong - In: Economic modelling 51 (2015), pp. 263-268
Persistent link: https://www.econbiz.de/10011475989
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Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
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Rescaling the double-mean-reverting 4/2 stochastic volatility model for derivative pricing
Cao, Jiling; Kim, Jeong-Hoon; Liu, Wenqiang; Zhang, WenJun - In: Finance research letters 58 (2023) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10014583526