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~person:"Benth, Fred Espen"
~person:"Kim, Young Shin"
~person:"Subrahmanyam, Marti G."
~subject:"Option pricing"
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Benth, Fred Espen
Kim, Young Shin
Subrahmanyam, Marti G.
Fabozzi, Frank J.
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1
Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
Saved in:
2
Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Economics letters
145
(
2016
),
pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
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3
Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.
;
Kim, Young Shin
;
Fabozzi, Frank J.
- In:
International review of financial analysis
31
(
2014
),
pp. 101-108
Persistent link: https://www.econbiz.de/10010461532
Saved in:
4
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
5
Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen
;
Detering, Nils
;
Lavagnini, Silvia
- In:
Digital finance : smart data analytics, investment …
3
(
2021
)
3/4
,
pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
Saved in:
6
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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