Geonwoo Kim

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Variational inequality arising from variable annuity with mean reversion environment Journal of Inequalities and Applications	2023-12-21	Paper
Pricing of vulnerable power exchange option under the hybrid model	2022-06-21	Paper
An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model Chaos, Solitons and Fractals	2022-04-26	Paper
Simplified approach to valuation of vulnerable exchange option under a reduced-form model	2021-11-15	Paper
A probabilistic approach for valuing exchange option with default risk	2021-05-05	Paper
The contact geometry of the spatial circular restricted 3-body problem Abhandlungen aus dem Mathematischen Seminar der Universität Hamburg	2021-05-04	Paper
An integral equation approach for optimal investment policies with partial reversibility Chaos, Solitons and Fractals	2020-11-27	Paper
Cauchy noise removal by weighted nuclear norm minimization Journal of Scientific Computing	2020-04-16	Paper
Efficient valuation of a variable annuity contract with a surrender option Japan Journal of Industrial and Applied Mathematics	2020-02-28	Paper
Efficient lattice method for valuing of options with barrier in a regime switching model Discrete Dynamics in Nature and Society	2017-11-13	Paper
Explicit formula for the valuation of catastrophe put option with exponential jump and default risk Chaos, Solitons and Fractals	2017-11-10	Paper
Closed-form pricing formula for exchange option with credit risk Chaos, Solitons and Fractals	2017-10-18	Paper
The analytic approach for the stochastic projection of the public pension fund Probability in the Engineering and Informational Sciences	2017-09-19	Paper
Pricing of quanto chained options Communications of the Korean Mathematical Society	2016-09-09	Paper
Probability for transition of business cycle and pricing of options with correlated credit risk Hacettepe Journal of Mathematics and Statistics	2016-09-07	Paper
On convergence of Laplace inversion for the American put option under the CEV model Journal of Computational and Applied Mathematics	2016-05-04	Paper
Efficient pricing of Bermudan options using recombining quadratures Journal of Computational and Applied Mathematics	2015-08-26	Paper
On pricing options with stressed-beta in a reduced form model Review of Derivatives Research	2015-07-09	Paper
Exchange option in a two-state Poisson CAPM Journal of the Korean Statistical Society	2014-08-07	Paper
scientific article; zbMATH DE number 2088420 (Why is no real title available?)	2004-08-12	Paper

Research outcomes over time

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