Similar Search Results

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

Asymptotic behavior of the stationary distribution in a finite QBD process with zero mean drift

Kim, Bara; Kim, Jeongsim; Lee, Jisu - In: Operations research letters 36 (2008) 1, pp. 127-132

Persistent link: https://www.econbiz.de/10003768591

Stochastic ordering of Gini indexes for multivariate elliptical risks

Kim, Bara; Kim, Jeongsim - In: Insurance / Mathematics & economics 88 (2019), pp. 151-158

Persistent link: https://www.econbiz.de/10012105530

Optimal stochastic control of the intensity of point processes

Kim, Bara; Kim, Jeongsim; Wang, Chia-Li - In: Operations research letters 50 (2022) 5, pp. 574-580

Persistent link: https://www.econbiz.de/10013449448

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

Credit spreads with jump risks and stationary leverage ratio

Kim, Hwa-sung - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 53-69

Persistent link: https://www.econbiz.de/10009315272

Pricing basket and Asian options under the jump-diffusion process

Bae, Kwangil; Kang, Jangkoo; Kim, Hwa-sung - In: The journal of futures markets 31 (2011) 9, pp. 830-854

Persistent link: https://www.econbiz.de/10009355795