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Closed-form solutions for valuing partial lookback options with random initiation

Kim, Geonwoo; Jeon, Junkee - In: Finance research letters 24 (2018), pp. 321-327

Persistent link: https://www.econbiz.de/10011982667

Pricing European continuous-installment strangle options

Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8

Persistent link: https://www.econbiz.de/10012204447

Pricing of vulnerable options with early counterparty credit risk

Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656

Persistent link: https://www.econbiz.de/10012120148

Pricing European continuous-installment currency options with mean-reversion

Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013413559

Pricing of vulnerable exchange options with early counterparty credit risk

Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013413573

Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility

Jeon, Jaegi; Kim, Geonwoo; Huh, Jeonggyu - In: Journal of Futures Markets 41 (2021) 5, pp. 559-576

Persistent link: https://www.econbiz.de/10012535198

On pricing options with stressed-beta in a reduced form model

Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011414105

On pricing options with stressed-beta in a reduced form model

Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of Derivatives Research 18 (2015) 1, pp. 29-50

<Para ID="Par1">We consider the valuation of options with stressed-beta in a reduced form model. Under this two-state beta model, we provide the analytic pricing formulae for the European options and American options as the integral forms. Specifically, we provide the integral representation of the early...</para>

Persistent link: https://www.econbiz.de/10011242060