Similar Search Results

Fast swaption pricing in Gaussian term structure models

Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982

Persistent link: https://www.econbiz.de/10011583816

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions

Choi, Jaehyuk - In: Operations research letters : a journal of INFORMS … 60 (2025), pp. 1-6

Persistent link: https://www.econbiz.de/10015359240

Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion

Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied Mathematical Finance 16 (2009) 3, pp. 261-268

We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion, which is widely quoted in Fixed Income markets. The maximum error in the volatility is in the order of 10-10 of the given option price and much smaller for the...

Persistent link: https://www.econbiz.de/10004966849

Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options

Woo, Jeechul; Liu, Chenru; Choi, Jaehyuk - In: The journal of futures markets 44 (2024) 8, pp. 1404-1428

Persistent link: https://www.econbiz.de/10015110664

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

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Choi, Jaehyuk - 2016

We provide an accurate approximation method for inverting an option price to the implied volatility under arithmetic Brownian motion. The maximum error in the volatility is in the order of 1e-10 of the given option price and much smaller for the near-the-money options. Thus our approximation can...

Persistent link: https://www.econbiz.de/10012707119