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Volatility and variance swaps...
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ECONIS (ZBW)
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1
Rough stochastic elasticity of variance and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
2
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
3
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Saved in:
4
Variance and volatility swaps and options under the exponential fractional Ornstein-Uhlenbeck model
Kim, Hyun-Gyoon
;
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014534851
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
- In:
Mathematics and financial economics
12
(
2018
)
4
,
pp. 495-515
Persistent link: https://www.econbiz.de/10011963875
Saved in:
9
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Kim, Jeong-Hoon
;
Park, Hyejin
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Saved in:
10
Option pricing under hybrid stochastic and local volatility
CHOI, SUN-YONG
;
FOUQUE, JEAN-PIERRE
;
KIM, JEONG-HOON
- In:
Quantitative Finance
13
(
2013
)
8
,
pp. 1157-1165
Persistent link: https://www.econbiz.de/10010976243
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