Min-Ku Lee

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
Third order approximation to the price of perpetual American lookback option with a mean-reverting stochastic volatility East Asian Mathematical Journal	2025-04-22	Paper
Variance swaps under multiscale stochastic volatility of volatility Methodology and Computing in Applied Probability	2022-06-03	Paper
Pricing of defaultable options with multiscale generalized Heston's stochastic volatility Mathematics and Computers in Simulation	2021-03-01	Paper
Pricing Parisian option under a stochastic volatility model Journal of Applied Mathematics	2019-11-19	Paper
Turbo warrants under hybrid stochastic and local volatility Abstract and Applied Analysis	2019-02-14	Paper
Pricing arithmetic Asian options under hybrid stochastic and local volatility Journal of Applied Mathematics	2019-02-01	Paper
Asymptotic approach to the pricing of geometric Asian options under the CEV model Chaos, Solitons and Fractals	2017-10-18	Paper
A delayed stochastic volatility correction to the constant elasticity of variance model Acta Mathematicae Applicatae Sinica. English Series	2017-03-23	Paper
A closed form solution for vulnerable options with Heston's stochastic volatility Chaos, Solitons and Fractals	2017-02-10	Paper
Investment timing under hybrid stochastic and local volatility Chaos, Solitons and Fractals	2016-11-14	Paper
Arithmetic average Asian options with stochastic elasticity of variance Journal of the Korean Society for Industrial and Applied Mathematics	2016-09-01	Paper
Pricing vulnerable options under a stochastic volatility model Applied Mathematics Letters	2015-06-22	Paper
Portfolio optimization for pension plans under hybrid stochastic and local volatility. Applications of Mathematics	2015-05-06	Paper
Portfolio optimization under the stochastic elasticity of variance Stochastics and Dynamics	2014-07-18	Paper

Research outcomes over time

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