Ji-Hun Yoon

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Optimal consumption-portfolio strategy and housing choice problem with a loan-to-value ratio	2024-01-18	Paper
A prepayment-risk-neutral pricing model for mortgage-backed securities	2021-08-12	Paper
Valuing vulnerable geometric Asian options	2020-10-11	Paper
Pricing of fixed-strike lookback options on assets with default risk	2020-02-20	Paper
Mellin transform method for European option pricing with Hull-White stochastic interest rate	2019-11-19	Paper
AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS	2019-10-22	Paper
Analytic valuation of European continuous-installment barrier options	2019-07-26	Paper
Turbo warrants under hybrid stochastic and local volatility	2019-02-14	Paper
The Heston model with stochastic elasticity of variance	2019-02-08	Paper
https://portal.mardi4nfdi.de/entity/Q4582807	2018-08-24	Paper
The pricing of dynamic fund protection with default risk	2018-01-11	Paper
Pricing turbo warrants under stochastic elasticity of variance	2017-02-10	Paper
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model	2017-01-17	Paper
Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model	2017-01-10	Paper
Pricing perpetual American options under multiscale stochastic elasticity of variance	2016-12-19	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
Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models	2016-02-18	Paper
OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES	2016-01-26	Paper
Stochastic elasticity of variance with stochastic interest rates	2015-11-12	Paper
A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options	2015-03-31	Paper
Multiscale analysis of a perpetual American option with the stochastic elasticity of variance	2015-03-30	Paper
The pricing of vulnerable options with double Mellin transforms	2014-10-31	Paper

Research outcomes over time

Doctoral students

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