Geonwoo Kim

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Variational inequality arising from variable annuity with mean reversion environment	2023-12-21	Paper
https://portal.mardi4nfdi.de/entity/Q5083072	2022-06-21	Paper
An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model	2022-04-26	Paper
https://portal.mardi4nfdi.de/entity/Q5164939	2021-11-15	Paper
https://portal.mardi4nfdi.de/entity/Q3388383	2021-05-05	Paper
The contact geometry of the spatial circular restricted 3-body problem	2021-05-04	Paper
An integral equation approach for optimal investment policies with partial reversibility	2020-11-27	Paper
Cauchy noise removal by weighted nuclear norm minimization	2020-04-16	Paper
Efficient valuation of a variable annuity contract with a surrender option	2020-02-28	Paper
Efficient lattice method for valuing of options with barrier in a regime switching model	2017-11-13	Paper
Explicit formula for the valuation of catastrophe put option with exponential jump and default risk	2017-11-10	Paper
Closed-form pricing formula for exchange option with credit risk	2017-10-18	Paper
THE ANALYTIC APPROACH FOR THE STOCHASTIC PROJECTION OF THE PUBLIC PENSION FUND	2017-09-19	Paper
Pricing of quanto chained options	2016-09-09	Paper
Probability for transition of business cycle and pricing of options with correlated credit risk	2016-09-07	Paper
On convergence of Laplace inversion for the American put option under the CEV model	2016-05-04	Paper
Efficient pricing of Bermudan options using recombining quadratures	2015-08-26	Paper
On pricing options with stressed-beta in a reduced form model	2015-07-09	Paper
Exchange option in a two-state Poisson CAPM	2014-08-07	Paper
https://portal.mardi4nfdi.de/entity/Q3044783	2004-08-12	Paper

Research outcomes over time

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