윤지훈교수

Pricing external barrier options under a stochastic volatility model. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ELSEVIER SCIENCE BV, 2021-10

권 394 호 00 페이지 113555 ~ 00

Closed-form pricing formula for foreign equity option with credit risk. ADVANCES IN DIFFERENCE EQUATIONS, SPRINGER, 2021-07

권 2021 호 1 페이지 1 ~ 17

A prepayment-risk-neutral pricing model for mortgage-backed securities. 한국수학논문집(Korean Journal of Mathematics), 강원경기수학회, 2021-06

권 29 호 2 페이지 409 ~ 424

Foreign exchange rate volatility smiles and smirks. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, JOHN WILEY & SONS LTD, 2021-05

권 37 호 3 페이지 628 ~ 660

Pricing of vulnerable options under hybrid stochastic and local volatility. CHAOS SOLITONS & FRACTALS, PERGAMON-ELSEVIER SCIENCE LTD, 2021-05

권 146 호 110846 페이지 110846 ~ 110846

Forecasting gold futures prices considering the benchmark interest rates. 충청수학회지, 충청수학회, 2021-05

권 34 호 2 페이지 157 ~ 168

THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL. 충청수학회지, 충청수학회, 2020-05

권 33 호 2 페이지 181 ~ 195

Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities. MATHEMATICAL PROBLEMS IN ENGINEERING, HINDAWI PUBLISHING CORPORATION, 2020-03

권 97630 페이지 1 ~ 20

Analytic valuation of European continuous-installment barrier options. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ELSEVIER SCIENCE BV, 2020-01

권 363 페이지 392 ~ 412

Multifactor Heston's stochastic volatility model for European option pricing. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, JOHN WILEY & SONS LTD, 2019-09

권 35 호 5 페이지 1202 ~ 1227

Pricing of Fixed-Strike Lookback Options on Assets with Default Risk. MATHEMATICAL PROBLEMS IN ENGINEERING, HINDAWI PUBLISHING CORPORATION, 2019-01

권 2019 페이지 8412698 ~ 10

ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON'S STOCHASTIC VOLATILITY MODEL. DYNAMIC SYSTEMS AND APPLICATIONS, DYNAMIC PUBLISHERS, 2018-06

권 27 호 2 페이지 331 ~ 352

An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms. East Asian Mathematical Journal, Executive Board of the Pusan Kyongnam Branch ofthe Korean MathematicalSociety, 2018-05

권 34 호 3 페이지 239 ~ 248

The pricing of dynamic fund protection with default risk. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ELSEVIER SCIENCE BV, 2018-05

권 333 페이지 116 ~ 130

Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images. Communications of the Korean Mathematical Society, 대한수학회, 2018-01

권 33 호 1 페이지 345 ~ 360

An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, ACADEMIC PRESS INC ELSEVIER SCIENCE, 2017-05

권 449 호 1 페이지 207 ~ 227

Pricing vulnerable path-dependent options using integral transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, ELSEVIER SCIENCE BV, 2017-03

권 313 페이지 259 ~ 272

Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model. STOCHASTICS AND DYNAMICS, WORLD SCIENTIFIC PUBL CO PTE LTD, 2017-02

권 17 호 1 페이지 175003 ~ 175003

The Heston model with stochastic elasticity of variance. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, JOHN WILEY & SONS LTD, 2016-12

권 32 호 6 페이지 804 ~ 824

PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS. 대한수학회보(Bulletin of the Korean Mathematical Society), 대한수학회, 2016-09

권 53 호 5 페이지 1497 ~ 1530

Pricing turbo warrants under stochastic elasticity of variance. CHAOS SOLITONS & FRACTALS, PERGAMON-ELSEVIER SCIENCE LTD, 2016-07

권 88 호 Special SI 페이지 107 ~ 118

A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH. East Asian mathematical journal(구. Pusan Kyongnam Mathematical Journal), 영남수학회(Executive Board of the Pusan Kyongnam Branch of the Korean Mathematical Society), 2016-05

권 32 호 3 페이지 301 ~ 310

Valuing vulnerable geometric Asian options. COMPUTERS & MATHEMATICS WITH APPLICATIONS, PERGAMON-ELSEVIER SCIENCE LTD, 2016-01

권 71 호 2 페이지 676 ~ 691

OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES. JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS, 한국산업응용수학회(구-한국산업정보응용수학회), 2015-12

권 19 호 4 페이지 417 ~ 428

On the stochastic elasticity of variance diffusions. ECONOMIC MODELLING, ELSEVIER SCIENCE BV, 2015-12

권 51 페이지 263 ~ 268

Stochastic elasticity of variance with stochastic interest rates. Journal of the Korean Statistical Society, 한국통계학회, 2015-12

권 44 호 4 페이지 555 ~ 564

Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models. IMA JOURNAL OF APPLIED MATHEMATICS, OXFORD UNIV PRESS, 2015-06

권 80 페이지 651 ~ 675

The pricing of vulnerable options with double Mellin transforms. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, ACADEMIC PRESS INC ELSEVIER SCIENCE, 2015-02

권 422 페이지 838 ~ 857

Pricing perpetual American options under multiscale stochastic elasticity of variance. CHAOS SOLITONS & FRACTALS, PERGAMON-ELSEVIER SCIENCE LTD, 2015-01

권 70 페이지 14 ~ 26

Mellin transform method for European option pricing with hull-white stochastic interest rate. JOURNAL OF APPLIED MATHEMATICS, HINDAWI PUBLISHING CORPORATION, 2014-10

권 2014 호 0 페이지 0 ~ 0

Multiscale Stochastic Volatility with the Hull-White Rate of Interest. JOURNAL OF FUTURES MARKETS, JOHN WILEY & SONS INC, 2014-09

권 34 호 9 페이지 819 ~ 837

Turbo warrants under hybrid stochastic and local volatility. ABSTRACT AND APPLIED ANALYSIS, HINDAWI PUBLISHING CORPORATION, 2014-01

권 2014 호 0 페이지 0 ~ 0

A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options. APPLIED MATHEMATICS LETTERS, PERGAMON-ELSEVIER SCIENCE LTD, 2013-12

권 26 페이지 1146 ~ 1150

Multiscale analysis of a perpetual American option with the stochastic elasticity of variance. APPLIED MATHEMATICS LETTERS, PERGAMON-ELSEVIER SCIENCE LTD, 2013-07

권 26 페이지 670 ~ 675