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~person:"Kim, Young Shin"
~person:"Kwok, Yue-Kuen"
~subject:"Kapitaleinkommen"
~subject:"Stochastischer Prozess"
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Option Prices with Stochastic...
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Kapitaleinkommen
Stochastischer Prozess
Option pricing theory
70
Optionspreistheorie
70
Stochastic process
24
Volatility
22
Volatilität
22
Theorie
21
Theory
21
Option trading
14
Optionsgeschäft
14
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12
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12
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stochastic volatility
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27
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Kim, Young Shin
Kwok, Yue-Kuen
Cui, Zhenyu
35
Chiarella, Carl
29
Madan, Dilip B.
29
Takahashi, Akihiko
27
Carr, Peter
23
Kohlmann, Michael
22
Nguyen, Duy
22
Fabozzi, Frank J.
21
Alòs, Elisa
20
Elliott, Robert J.
20
Hainaut, Donatien
18
Oosterlee, Cornelis W.
18
Escobar, Marcos
16
Jacobs, Kris
16
Schoutens, Wim
16
Wang, Xingchun
15
Grasselli, Martino
14
Jacquier, Antoine (Jack)
14
Lorig, Matthew
14
Siu, Tak Kuen
14
Christoffersen, Peter F.
13
Forde, Martin
13
Fouque, Jean-Pierre
13
Hess, Markus
13
Levendorskij, Sergej Z.
13
Wong, Hoi Ying
13
Yamada, Toshihiro
13
Yamazaki, Akira
13
Ziveyi, Jonathan
13
Benth, Fred Espen
12
Eberlein, Ernst
12
Grzelak, Lech A.
12
Kang, Boda
12
Kirkby, J. Lars
12
Kirkby, Justin
12
Račev, Svetlozar T.
12
Shiraya, Kenichiro
12
Todorov, Viktor
12
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12
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International journal of theoretical and applied finance
2
Journal of risk and financial management : JRFM
2
The Frank J. Fabozzi series
2
Applied financial economics
1
Applied mathematical finance
1
Computational Management Science : CMS
1
Computational economics
1
Economics letters
1
European journal of operational research : EJOR
1
Finance research letters
1
Frank J. Fabozzi Ser
1
International journal of financial engineering
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of econometrics
1
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1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research letters
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ECONIS (ZBW)
27
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1
Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung
;
Kim, Young Shin
;
Mitov, Ivan
- In:
Journal of banking & finance
58
(
2015
),
pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
Saved in:
2
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
Saved in:
3
Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
Zheng, Wendong
;
Yuen, Chi Hung
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011455019
Saved in:
4
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
5
Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
Saved in:
6
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:
7
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
Saved in:
8
Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
Saved in:
9
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:
10
Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
Zeng, Pingping
;
Kwok, Yue-Kuen
;
Zheng, Wendong
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011404362
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