Choi, Sun-Yong; Kim, Jeong-Hoon; Yoon, Ji-Hun Foreign exchange rate volatility smiles and smirks. (English) Zbl 07887618 Appl. Stoch. Models Bus. Ind. 37, No. 3, 628-660 (2021). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Kim, Donghyun; Choi, Sun-Yong; Yoon, Ji-Hun Pricing of vulnerable options under hybrid stochastic and local volatility. (English) Zbl 1498.91448 Chaos Solitons Fractals 146, Article ID 110846, 12 p. (2021). MSC: 91G20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Jeon, Junkee; Choi, Sun-Yong; Yoon, Ji-Hun Analytic valuation of European continuous-installment barrier options. (English) Zbl 1422.91704 J. Comput. Appl. Math. 363, 392-412 (2020). MSC: 91G20 44A20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Veng, Sotheara; Yoon, Ji-Hun; Choi, Sun-Yong Multifactor Heston’s stochastic volatility model for European option pricing. (English) Zbl 07883152 Appl. Stoch. Models Bus. Ind. 35, No. 5, 1202-1227 (2019). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee Pricing of fixed-strike lookback options on assets with default risk. (English) Zbl 1435.91184 Math. Probl. Eng. 2019, Article ID 8412698, 10 p. (2019). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Yoon, Ji-Hun; Kim, Jeong-Hoon; Choi, Sun-Yong; Han, Youngchul Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model. (English) Zbl 1354.91158 Stoch. Dyn. 17, No. 1, Article ID 1750003, 24 p. (2017). MSC: 91G30 91G40 91G20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon; Yoon, Ji-Hun The Heston model with stochastic elasticity of variance. (English) Zbl 1420.91454 Appl. Stoch. Models Bus. Ind. 32, No. 6, 804-824 (2016). MSC: 91G20 35Q91 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon Equity-linked annuities with multiscale hybrid stochastic and local volatility. (English) Zbl 1401.91115 Scand. Actuar. J. 2016, No. 5, 466-487 (2016). MSC: 91B30 91G20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Yoon, Ji-Hun; Kim, Jeong-Hoon; Choi, Sun-Yong Multiscale analysis of a perpetual American option with the stochastic elasticity of variance. (English) Zbl 1308.91174 Appl. Math. Lett. 26, No. 7, 670-675 (2013). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon Option pricing under hybrid stochastic and local volatility. (English) Zbl 1281.91155 Quant. Finance 13, No. 8, 1157-1165 (2013). MSC: 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Park, Sang-Hyeon; Kim, Jeong-Hoon; Choi, Sun-Yong Matching asymptotics in path-dependent option pricing. (English) Zbl 1233.91289 J. Math. Anal. Appl. 367, No. 2, 568-587 (2010). MSC: 91G20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI