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Option pricing under hybrid stochastic and local volatility
CHOI, SUN-YONG; FOUQUE, JEAN-PIERRE; KIM, JEONG-HOON - In: Quantitative Finance 13 (2013) 8, pp. 1157-1165
Persistent link: https://www.econbiz.de/10010976243
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On the stochastic elasticity of variance diffusions
Kim, Jeong-Hoon; Yoon, Ji-Hun; Lee, Jungwoo; Choi, Sun-Yong - In: Economic modelling 51 (2015), pp. 263-268
Persistent link: https://www.econbiz.de/10011475989
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A Mellin transform approach to the pricing of options with default risk
Choi, Sun-Yong; Sotheara Veng; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: Computational economics 59 (2022) 3, pp. 1113-1134
Persistent link: https://www.econbiz.de/10013169229
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Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong - In: The journal of risk model validation 10 (2016) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
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Industry volatility and economic uncertainty due to the COVID-19 pandemic : evidence from wavelet coherence analysis
Choi, Sun-Yong - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485194
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The influence of shock signals on the change in volatility term structure
Choi, Sun-Yong - In: Economics letters 183 (2019), pp. 1-5
Persistent link: https://www.econbiz.de/10012122602
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Dynamic volatility spillovers between industries in the US stock market : evidence from the COVID-19 pandemic and Black Monday
Choi, Sun-Yong - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013413560
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Credit risk interdependence in global financial markets : evidence from three regions using multiple and partial wavelet approaches
Choi, Sun-Yong - In: Journal of international financial markets, … 80 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013533162
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Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries
Choi, Sun-Yong - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342679
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The impact of the Russia-Ukraine conflict on the connectedness of financial markets
Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; Teplova, … - In: Finance research letters 48 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013463277