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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
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Modeling tail dependence using stochastic volatility model
Kim, See-Woo; Ma, Yong-Ki; Necula, Ciprian - In: Computational economics 62 (2023) 1, pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
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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
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A closed form solution for pricing variance swaps under the rescaled double Heston model
Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450
Persistent link: https://www.econbiz.de/10014228437