Jaehyuk Choi

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
Efficient and accurate simulation of the stochastic-alpha-beta-rho model European Journal of Operational Research	2026-02-12	Paper
Simulation schemes for the Heston model with Poisson conditioning European Journal of Operational Research	2024-04-16	Paper
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ Quantitative Finance	2021-12-01	Paper
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model Journal of Economic Dynamics and Control	2021-11-16	Paper
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution Journal of Computational and Applied Mathematics	2021-02-03	Paper
Fast swaption pricing in Gaussian term structure models Mathematical Finance	2016-11-01	Paper
Numerical approximation of the implied volatility under arithmetic Brownian motion Applied Mathematical Finance	2009-12-16	Paper
Generalized Iteration Method for First‐Kind Integral Equations Studies in Applied Mathematics	2008-10-17	Paper
Steady advection–diffusion around finite absorbers in two-dimensional potential flows Journal of Fluid Mechanics	2005-09-26	Paper

Research outcomes over time

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