| Publication | Date of Publication | Type |
|---|
Pricing of timer volatility-barrier options under Heston's stochastic volatility model
Journal of Computational and Applied Mathematics | 2024-12-16 | Paper |
New approach and analysis of the generalized constant elasticity of variance model
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Foreign exchange rate volatility smiles and smirks
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Multifactor Heston's stochastic volatility model for European option pricing
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Pricing of timer digital power options based on stochstic volatility
East Asian Mathematical Journal | 2024-06-28 | Paper |
Pricing Vulnerable Options in Fractional Brownian Markets: a Partial Differential Equations Approach
Fractional Calculus \ Applied Analysis | 2024-05-02 | Paper |
Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio
Japan Journal of Industrial and Applied Mathematics | 2024-01-18 | Paper |
| A prepayment-risk-neutral pricing model for mortgage-backed securities | 2021-08-12 | Paper |
Valuing vulnerable geometric Asian options
Computers & Mathematics with Applications | 2020-10-11 | Paper |
Pricing of fixed-strike lookback options on assets with default risk
Mathematical Problems in Engineering | 2020-02-20 | Paper |
Mellin transform method for European option pricing with Hull-White stochastic interest rate
Journal of Applied Mathematics | 2019-11-19 | Paper |
| An approximated European option price under stochastic elasticity of variance using Mellin transforms | 2019-10-22 | Paper |
Analytic valuation of European continuous-installment barrier options
Journal of Computational and Applied Mathematics | 2019-07-26 | Paper |
Turbo warrants under hybrid stochastic and local volatility
Abstract and Applied Analysis | 2019-02-14 | Paper |
The Heston model with stochastic elasticity of variance
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
| Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images | 2018-08-24 | Paper |
The pricing of dynamic fund protection with default risk
Journal of Computational and Applied Mathematics | 2018-01-11 | Paper |
Pricing turbo warrants under stochastic elasticity of variance
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
Journal of Mathematical Analysis and Applications | 2017-01-17 | Paper |
Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
Stochastics and Dynamics | 2017-01-10 | Paper |
Pricing perpetual American options under multiscale stochastic elasticity of variance
Chaos, Solitons and Fractals | 2016-12-19 | Paper |
Pricing vulnerable path-dependent options using integral transforms
Journal of Computational and Applied Mathematics | 2016-11-22 | Paper |
Pricing external-chained barrier options with exponential barriers
Bulletin of the Korean Mathematical Society | 2016-10-26 | Paper |
A closed-form solution for lookback options using Mellin transform approach
East Asian mathematical journal | 2016-07-14 | Paper |
Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models
IMA Journal of Applied Mathematics | 2016-02-18 | Paper |
Optimal portfolio selection under stochastic volatility and stochastic interest rates
Journal of the Korea Society for Industrial and Applied Mathematics | 2016-01-26 | Paper |
Stochastic elasticity of variance with stochastic interest rates
Journal of the Korean Statistical Society | 2015-11-12 | Paper |
A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
Applied Mathematics Letters | 2015-03-31 | Paper |
Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
Applied Mathematics Letters | 2015-03-30 | Paper |
The pricing of vulnerable options with double Mellin transforms
Journal of Mathematical Analysis and Applications | 2014-10-31 | Paper |
