Junkee Jeon

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Optimal consumption and investment with welfare constraints	2024-04-02	Paper
Variational inequality arising from variable annuity with mean reversion environment	2023-12-21	Paper
Labor supply flexibility and portfolio selection with early retirement option	2023-11-29	Paper
https://portal.mardi4nfdi.de/entity/Q6091007	2023-11-23	Paper
Horizon effect on optimal retirement decision	2023-06-20	Paper
Optimal job switching and retirement decision	2023-04-21	Paper
Variable annuity with a surrender option under multiscale stochastic volatility	2023-01-17	Paper
Optimal Retirement Under Partial Information	2022-09-26	Paper
Optimal long-term contracts with disability insurance under limited commitment	2022-05-12	Paper
Intertemporal preference with loss aversion: consumption and risk-attitude	2022-04-08	Paper
Optimal finite horizon contract with limited commitment	2022-04-01	Paper
Finite horizon portfolio selection problem with a drawdown constraint on consumption	2021-10-22	Paper
Finite horizon portfolio selection with durable goods	2021-10-22	Paper
A problem of optimal switching and singular control with discretionary stopping in portfolio selection	2021-07-25	Paper
Portfolio selection with drawdown constraint on consumption: a generalization model	2021-07-14	Paper
Finite horizon portfolio selection problems with stochastic borrowing constraints	2021-06-09	Paper
OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE	2021-06-03	Paper
Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints	2021-05-04	Paper
Pricing variable annuity with surrender guarantee	2021-04-23	Paper
Dynamic asset allocation with consumption ratcheting post retirement	2021-03-12	Paper
An integral equation approach for optimal investment policies with partial reversibility	2020-11-27	Paper
Valuing vulnerable geometric Asian options	2020-10-11	Paper
Analytic solution for American strangle options using Laplace-Carson transforms	2020-10-07	Paper
An integral equation representation approach for valuing Russian options with a finite time horizon	2020-09-15	Paper
Optimal retirement and portfolio selection with consumption ratcheting	2020-06-18	Paper
Efficient valuation of a variable annuity contract with a surrender option	2020-02-28	Paper
Pricing of fixed-strike lookback options on assets with default risk	2020-02-20	Paper
\((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions	2020-01-10	Paper
Ratcheting with a bliss level of consumption	2019-10-18	Paper
Analytic valuation of European continuous-installment barrier options	2019-07-26	Paper
Finite horizon portfolio selection with a negative wealth constraint	2019-06-20	Paper
Finite-horizon optimal consumption and investment problem with a preference change	2019-02-21	Paper
Valuation of American strangle option: variational inequality approach	2019-01-11	Paper
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities	2018-11-19	Paper
https://portal.mardi4nfdi.de/entity/Q4582807	2018-08-24	Paper
Portfolio selection with consumption ratcheting	2018-08-13	Paper
The pricing of dynamic fund protection with default risk	2018-01-11	Paper
A simple and fast method for valuing American knock-out options with rebates	2017-11-24	Paper
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model	2017-01-17	Paper
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation	2016-11-22	Paper
Pricing vulnerable path-dependent options using integral transforms	2016-11-22	Paper
PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS	2016-10-26	Paper
A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH	2016-07-14	Paper

Research outcomes over time

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