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Valuation of power options under Heston’s stochastic volatility model

Kim, Jerim; Kim, Bara; Moon, Kyoung-sook; Wee, In-suk - In: Journal of economic dynamics & control 36 (2012) 11, pp. 1796-1813

Persistent link: https://www.econbiz.de/10009701929

Pricing external barrier options in a regime-switching model

Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143

Persistent link: https://www.econbiz.de/10011526900

Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses

Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22

Persistent link: https://www.econbiz.de/10010438507

An adaptive averaging binomial method for option valuation

Moon, Kyoung-sook; Kim, Hongjoong - In: Operations research letters 41 (2013) 5, pp. 511-515

Persistent link: https://www.econbiz.de/10010190429

Pricing of Discretely Sampled Arithmetic Asian Options Under the Hull-White Interest Rate Model

Kim, Bara; Kim, Jeongsim; Lee, Jinyoung; Yoon, Hyungkuk - 2023

This paper studies the pricing of discrete arithmetic Asian options (AAOs) with fixed strikes under the Hull-White interest rate model. For the pricing of AAOs, we first investigate the stochastic dynamics of the price of the underlying asset under the T-forward measure, and then study the...

Persistent link: https://www.econbiz.de/10014353453