Min-Ku Lee

Available identifiers

Publication	Date of Publication	Type
Variance swaps under multiscale stochastic volatility of volatility	2022-06-03	Paper
Pricing of defaultable options with multiscale generalized Heston's stochastic volatility	2021-03-01	Paper
Pricing Parisian option under a stochastic volatility model	2019-11-19	Paper
Turbo warrants under hybrid stochastic and local volatility	2019-02-14	Paper
Pricing arithmetic Asian options under hybrid stochastic and local volatility	2019-02-01	Paper
Asymptotic approach to the pricing of geometric Asian options under the CEV model	2017-10-18	Paper
A delayed stochastic volatility correction to the constant elasticity of variance model	2017-03-23	Paper
A closed form solution for vulnerable options with Heston's stochastic volatility	2017-02-10	Paper
Investment timing under hybrid stochastic and local volatility	2016-11-14	Paper
Arithmetic average Asian options with stochastic elasticity of variance	2016-09-01	Paper
Pricing vulnerable options under a stochastic volatility model	2015-06-22	Paper
Portfolio optimization for pension plans under hybrid stochastic and local volatility.	2015-05-06	Paper
Portfolio optimization under the stochastic elasticity of variance	2014-07-18	Paper

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