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The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs

Kim, Donghyun; Shin, Yong Hyun; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491977

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

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

An efficient approximate solution for stochastic Lanchester models

Kim, Donghyun; Moon, Hyungil; Park, Donghyun; Shin, Hayong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1470-1481

Persistent link: https://www.econbiz.de/10011815926

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy

Chen, Kexin - 2018

Subsistence consumption and investment problems with bankruptcy are classic constrained stochastic optimal control problem in financial economic, where the consumption rate should be greater than a positive number and the investor faces a bankruptcy payment. We derive novel asymptotic solution...

Persistent link: https://www.econbiz.de/10012911132

Multiscale stochastic volatility with the Hull-White rate of interest

Kim, Jeong-Hoon; Yoon, Ji-Hun; Yu, Seok-Hyon - In: The journal of futures markets 34 (2014) 9, pp. 819-837

Persistent link: https://www.econbiz.de/10010507934

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

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