Access Statistics for Jaehyuk Choi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Black-Scholes user's guide to the Bachelier model 0 0 17 47 5 13 65 154
A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics' 0 0 0 3 0 0 0 17
Fast swaption pricing in Gaussian term structure models 0 1 1 6 0 1 1 26
Hyperbolic normal stochastic volatility model 0 0 0 4 0 0 2 18
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution 0 0 0 2 1 2 5 22
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options 0 0 0 16 1 3 3 34
Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options 0 0 0 16 0 0 2 32
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model 0 1 1 7 0 1 2 15
Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach 0 1 2 27 0 1 4 19
Total Working Papers 0 3 21 128 7 21 84 337


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ 0 0 0 1 0 0 2 13
BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness 1 2 6 37 1 2 13 107
FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS 0 0 0 7 0 0 1 22
Hyperbolic normal stochastic volatility model 0 0 0 1 0 0 2 13
Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion 0 0 1 53 0 1 9 211
Price discovery and microstructure in ether spot and derivative markets 0 0 1 7 0 0 3 43
Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options 0 0 0 4 0 1 3 15
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model 0 1 2 4 0 2 9 27
Total Journal Articles 1 3 10 114 1 6 42 451


Statistics updated 2024-06-06