| Publication | Date of Publication | Type |
|---|
Valuation of power options under Heston's stochastic volatility model
Journal of Economic Dynamics and Control | 2016-09-28 | Paper |
A recursive method for discretely monitored geometric Asian option prices
Bulletin of the Korean Mathematical Society | 2016-06-16 | Paper |
Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
Journal of Computational and Applied Mathematics | 2015-11-13 | Paper |
Pricing of geometric Asian options under Heston's stochastic volatility model
Quantitative Finance | 2015-04-23 | Paper |
An operator splitting method for pricing the ELS option
Journal of the Korean Society for Industrial and Applied Mathematics | 2012-05-18 | Paper |
An accurate and efficient numerical method for Black-Scholes equations
Communications of the Korean Mathematical Society | 2012-02-08 | Paper |
COMPARISON OF STOCHASTIC VOLATILITY MODELS: EMPIRICAL STUDY ON KOSPI 200 INDEX OPTIONS
Bulletin of the Korean Mathematical Society | 2009-04-20 | Paper |
RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
Journal of the Korean Mathematical Society | 2008-06-18 | Paper |
Tail asymptotics for the fundamental period in the MAP\(/G/1\) queue
Queueing Systems | 2007-11-28 | Paper |
APPROXIMATIONS OF OPTION PRICES FOR A JUMP-DIFFUSION MODEL
Journal of the Korean Mathematical Society | 2006-06-19 | Paper |
Exact convergence rate for the distributions of \(GI\)/\(M\)/\(c\)/\(K\) queue as \(K\) tends to infinity
Queueing Systems | 2003-08-21 | Paper |
ERROR ESTIMATES FOR OPTION PRICES IN JUMP-DIFFUSION MODELS
Bulletin of the Korean Mathematical Society | 2003-05-25 | Paper |
Convergence of Jump-Diffusion Modelsto the Black–Scholes Model
Stochastic Analysis and Applications | 2003-02-24 | Paper |
scientific article; zbMATH DE number 1775601 (Why is no real title available?)
| 2002-08-04 | Paper |
Asymptotic behavior of loss probability in GI/M/1/\(K\) queue as \(K\) tends to infinity
Queueing Systems | 2001-06-19 | Paper |
Recurrence and transience for jump–diffusion processes
Stochastic Analysis and Applications | 2001-05-20 | Paper |
Stability for multidimensional jump-diffusion processes
Stochastic Processes and their Applications | 2001-01-17 | Paper |
scientific article; zbMATH DE number 1457425 (Why is no real title available?)
| 2000-06-12 | Paper |
scientific article; zbMATH DE number 1270496 (Why is no real title available?)
| 1999-04-22 | Paper |
scientific article; zbMATH DE number 1059747 (Why is no real title available?)
| 1998-05-25 | Paper |
A note on the weak invariance principle for local times
Statistics & Probability Letters | 1998-03-12 | Paper |
scientific article; zbMATH DE number 1053536 (Why is no real title available?)
| 1998-02-18 | Paper |
scientific article; zbMATH DE number 751034 (Why is no real title available?)
| 1995-07-16 | Paper |
The law of the iterated logarithm for local time of a Lévy process
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1993-03-10 | Paper |
Lower functions for asymmetric Lévy processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
Lower functions for processes with stationary independent increments
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1988-01-01 | Paper |
scientific article; zbMATH DE number 3971881 (Why is no real title available?)
| 1985-01-01 | Paper |
