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~person:"Kim, Young Shin"
~subject:"Option pricing theory"
~type_genre:"Advisory report"
~type_genre:"Article in journal"
~type_genre:"Forschungsbericht"
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Option pricing theory
Optionspreistheorie
21
Stochastic process
12
Stochastischer Prozess
12
Volatility
10
Volatilität
10
Lévy process
7
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option pricing
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Kim, Young Shin
Madan, Dilip B.
50
Carr, Peter
45
Fabozzi, Frank J.
35
Elliott, Robert J.
34
Kwok, Yue-Kuen
34
Wang, Xingchun
32
Cui, Zhenyu
31
Takahashi, Akihiko
30
Siu, Tak Kuen
29
Schoutens, Wim
27
Zhang, Jin E.
26
Benth, Fred Espen
24
Jarrow, Robert A.
23
Stentoft, Lars
21
Escobar, Marcos
20
Levendorskij, Sergej Z.
20
Račev, Svetlozar T.
20
Wong, Hoi Ying
20
Joshi, Mark S.
19
Wu, Liuren
19
Zanette, Antonino
19
Schwartz, Eduardo S.
18
Glasserman, Paul
17
He, Xin-Jiang
17
Chen, Ren-Raw
16
Chen, Son-nan
16
Lin, Shih-kuei
16
Ryu, Doojin
16
Zhu, Song-Ping
16
Chung, San-lin
15
Eberlein, Ernst
15
Jacobs, Kris
15
Lee, Hangsuck
15
Xu, Wei
15
Chiarella, Carl
14
Christoffersen, Peter F.
14
Câmara, António
14
Fusai, Gianluca
14
Hainaut, Donatien
14
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Journal of banking & finance
3
International journal of theoretical and applied finance
2
Journal of risk and financial management : JRFM
2
Review of derivatives research
2
Applied financial economics
1
Applied mathematical finance
1
Computational Management Science : CMS
1
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1
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1
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1
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1
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1
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1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
21
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Option pricing with time-changed Lévy processes
Klingler, Sven
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Applied financial economics
23
(
2013
)
13/15
,
pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746
Saved in:
7
Sample path generation of the stochastic
volatility
CGMY process and its application to path-dependent option pricing
Kim, Young Shin
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
2/77
,
pp. 1-18
This paper proposes the sample path generation method for the stochastic
volatility
version of the CGMY process. We …
Persistent link: https://www.econbiz.de/10012484130
Saved in:
8
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
Saved in:
9
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:
10
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:
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