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Details about Jaehyuk Choi

Homepage:https://jaehyukchoi.net/phbs_en
Workplace:HSBC Business School, Peking University, (more information at EDIRC)

Access statistics for papers by Jaehyuk Choi.

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

Short-id: pch2015


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Working Papers

2024

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

2022

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

2021

  1. A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
    Papers, arXiv.org Downloads View citations (4)
    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) Downloads View citations (4) (2021)
  2. The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
    Papers, arXiv.org Downloads View citations (3)
    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) Downloads View citations (2) (2021)

2020

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

2018

  1. Fast swaption pricing in Gaussian term structure models
    Papers, arXiv.org Downloads
    See also Journal Article FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS, Mathematical Finance, Wiley Blackwell (2016) Downloads View citations (1) (2016)
  2. Hyperbolic normal stochastic volatility model
    Papers, arXiv.org Downloads
    See also Journal Article Hyperbolic normal stochastic volatility model, Journal of Futures Markets, John Wiley & Sons, Ltd. (2019) Downloads View citations (9) (2019)
  3. Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
    Papers, arXiv.org Downloads View citations (7)
    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) Downloads View citations (3) (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 Downloads View citations (4)
    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) Downloads View citations (4) (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) Downloads View citations (2)
    See also Working Paper The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model, Papers (2021) Downloads View citations (3) (2021)

2020

  1. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
    Journal of Futures Markets, 2020, 40, (1), 23-43 Downloads View citations (37)
  2. Price discovery and microstructure in ether spot and derivative markets
    International Review of Financial Analysis, 2020, 71, (C) Downloads View citations (12)

2019

  1. Hyperbolic normal stochastic volatility model
    Journal of Futures Markets, 2019, 39, (2), 186-204 Downloads View citations (9)
    See also Working Paper Hyperbolic normal stochastic volatility model, Papers (2018) Downloads (2018)

2018

  1. 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 Downloads View citations (3)
    See also Working Paper Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options, Papers (2018) Downloads View citations (7) (2018)

2016

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

2009

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