Details about Jaehyuk Choi

Access statistics for papers by Jaehyuk Choi.

Last updated 2021-09-04. Update your information in the RePEc Author Service.

Short-id: pch2015

Working Papers

2024

1. Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
   Papers, arXiv.org View citations (1)

2022

2. A Black-Scholes user's guide to the Bachelier model
   Papers, arXiv.org View citations (1)
3. Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach
   Papers, arXiv.org

2021

4. A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
   Papers, arXiv.org View citations (5)
   See also Journal Article A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’, Quantitative Finance, Taylor & Francis Journals (2021) View citations (5) (2021)
5. The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
   Papers, arXiv.org View citations (4)
   See also Journal Article The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (3) (2021)

2020

6. Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
   Papers, arXiv.org

2018

7. Fast swaption pricing in Gaussian term structure models
   Papers, arXiv.org
   See also Journal Article FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS, Mathematical Finance, Wiley Blackwell (2016) View citations (1) (2016)
8. Hyperbolic normal stochastic volatility model
   Papers, arXiv.org
   See also Journal Article Hyperbolic normal stochastic volatility model, Journal of Futures Markets, John Wiley & Sons, Ltd. (2019) View citations (10) (2019)
9. Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
   Papers, arXiv.org View citations (8)
   See also Journal Article Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2018) View citations (4) (2018)

Journal Articles

2021

1. A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
   Quantitative Finance, 2021, 21, (7), 1083-1086 View citations (5)
   See also Working Paper A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics', Papers (2021) View citations (5) (2021)
2. The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
   Journal of Economic Dynamics and Control, 2021, 128, (C) View citations (3)
   See also Working Paper The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model, Papers (2021) View citations (4) (2021)

2020

3. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
   Journal of Futures Markets, 2020, 40, (1), 23-43 View citations (47)
4. Price discovery and microstructure in ether spot and derivative markets
   International Review of Financial Analysis, 2020, 71, (C) View citations (14)

2019

5. Hyperbolic normal stochastic volatility model
   Journal of Futures Markets, 2019, 39, (2), 186-204 View citations (10)
   See also Working Paper Hyperbolic normal stochastic volatility model, Papers (2018) (2018)

2018

6. Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options
   Journal of Futures Markets, 2018, 38, (6), 627-644 View citations (4)
   See also Working Paper Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options, Papers (2018) View citations (8) (2018)

2016

7. FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS
   Mathematical Finance, 2016, 26, (4), 962-982 View citations (1)
   See also Working Paper Fast swaption pricing in Gaussian term structure models, Papers (2018) (2018)

2009

8. Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
   Applied Mathematical Finance, 2009, 16, (3), 261-268 View citations (7)