Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options

문경숙 ,  Jung-Yon Seon ,  위인숙 외 1명

대한수학회보

2009 .01

The First Passage Time of Stock Price under Stochastic Volatility

And ,  ew Loc Nguyen

한국데이터정보과학회지

2004 .12

Option pricing for a stochastic volatility L$\acute{e}$vy model with stochastic interest rates

Sattayatham ,  P. ,  Pinkham 외 1명

JKSS(Journal of the Korean Statistical Society)

2013 .01

Financial Derivatives with Stochastic Volatility

Jeong-Hoon Kim

한국산업응용수학회 학술대회 논문집

2004 .12

OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

MI-HYUN KIM ,  JEONG-HOON KIM ,  JI-HUN YOON

JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS

2015 .12

A Simple Approach for Stochastic Interest Rate Option Pricing Model

Jung-Soon Hyun ,  Young-Hee Kim

한국산업응용수학회 학술대회 논문집

2005 .05

Pricing of Quanto option under the Hull and White stochastic volatility model

박지호 ,  이재성 ,  이영록

대한수학회논문집

2013 .01

OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES

김주홍

순수 및 응용수학

2014 .01

The pricing of quanto options in the double square root stochastic volatility model

이영록 ,  이재성

대한수학회논문집

2014 .01

Local volatility for quanto option prices with stochastic interest rates

이영록 ,  이재성

한국수학논문집

2015 .01

Analytic calculation of european option pricing in stochastic volatility asset model

오재필

한국수학논문집

2012 .01

IGARCH and Stochastic Volatility：Case Study

S. Y. Hwang ,  J. A. Pa ,  k

한국데이터정보과학회지

2005 .12

Domain of influence of Local Volatility Function on the Solutions of the General Black-Scholes Equation

김현동 ,  김상권 ,  한현수 외 3명

순수 및 응용수학

2020 .01

SIMULATIONS IN OPTION PRICING MODELS APPLIED TO KOSPI200

JONG LEE ,  SEKI KIM

JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS

2003 .12

The CUSUM test for stochastic volatility models

Moo Sup Kim ,  Sang Yeol Lee

한국데이터정보과학회지

2010 .12

Negative Asymmetric Relationship between VKOSPI and KOSPI 200

김선웅

Journal of The Korean Data Analysis Society

2010 .01

PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON’S STOCHASTIC VOLATILITY MODEL

김재희 ,  Sothea ,  a Veng

East Asian Mathematical Journal

2017 .01

Numerical Solutions of Stochastic Optimal Control problems using Stochastic Collocation method

Na ,  y Kim

한국산업응용수학회 학술대회 논문집

2011 .11

A financial market of a stochastic delay equation

이기암 ,  이기섭 ,  박상현

대한수학회보

2019 .01