Similar Search Results

Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

Jeon, Junkee; Kwak, Minsuk - In: Insurance / Mathematics & economics 83 (2018), pp. 93-109

Persistent link: https://www.econbiz.de/10011944103

Valuing real options with endogenous payoff

Choi, Kyoung Jin; Kwak, Minsuk - In: Quantitative finance 22 (2022) 11, pp. 2109-2123

Persistent link: https://www.econbiz.de/10013490929

Closed form valuation of American chained knock-in options

Han, Heejae; Jeon, Junkee; Kang, Myungjoo - In: Finance research letters 17 (2016), pp. 176-185

Persistent link: https://www.econbiz.de/10011596280

An analytic approximation for valuation of the American option under the Heston model in two regimes

Jeon, Junkee; Huh, Jeonggyu; Park, Kyunghyun - In: Computational economics 56 (2020) 2, pp. 499-528

Persistent link: https://www.econbiz.de/10012272044

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

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

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

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

Numerical approximation of the implied volatility under arithmetic Brownian motion

Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268

Persistent link: https://www.econbiz.de/10003916161

Valuing Real Options with Scale-dependent Payoff

Choi, Kyoung Jin; Kwak, Minsuk - 2021

This study investigates irreversible investment decisions when the exercise payoff is scale-dependent; thus, it is endogenously determined by the firm's risk management. We find that the scale-dependency gives rise to a speculative risk management strategy: a positive relationship between the...

Persistent link: https://www.econbiz.de/10013213301