Publications

 Published and Accepted Papers (SCIE & SSCI)

1. An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility
   S.-Y. Choi, D. Kim & J.-H. Yoon, AIMS Mathematics (SCIE), 2024.

2. The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
   D. Kim, Y. H. Shin* & J.-H. Yoon, The North American Journal of Economics and Finance (SSCI), 2024.

3. Pricing of vulnerable timer options
   D. Kim, M. Ha, S.-Y. Choi & J.-H. Yoon*, accepted in Computational Economics (SCIE & SSCI).

4. Valuing of Timer Path-dependent Options
   M. Ha, D. Kim & J.-H. Yoon*, Mathematics and Computers in Simulation (SCIE), 2024.

5. Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
   D. Kim & J.-H. Yoon*, Japan Journal of Industrial and Applied Mathematics (SCIE), 2023.

6. Pricing American Lookback Options Under a Stochastic Volatility Model
   D. Kim, J. Woo & J.-H. Yoon*, Bulletin of the Korean Mathematical Society (SCIE), 2023.

7. Analytic Method for Pricing Vulnerable External Barrier Options
   D. Kim & J.-H. Yoon*, Computational Economics (SCIE & SSCI), 2023.

8. Pricing of vulnerable exchange options with early counterparty credit risk
   D. Kim, G. Kim & J.-H. Yoon*, The North American Journal of Economics and Finance (SSCI), 2022.

9. Closed-form pricing formula for foreign equity option with credit risk
   D. Kim, J.-H. Yoon & G. Kim*, Advances in Continuous and Discrete Models (SCIE), 2021.

10. Pricing external barrier options under a stochastic volatility model
    D. Kim, J.-H. Yoon* & C.-R. Park, Journal of Computational and Applied Mathematics (SCIE), 2021.

11. Pricing of vulnerable options under hybrid stochastic and local volatility
    D. Kim, S.-Y. Choi & J.-H. Yoon*, Chaos, Solitons & Fractals (SCIE), 2021.

Published and Accepted Papers (SCOPUS & KCI)

1. Pricing of timer-digital power options
   M. Ha, S. Park, D. Kim & J.-H. Yoon*, East Asian Mathematical Journal (KCI), 2023.

2. The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
   M. Ha, D. Kim* & J.-H. Yoon, Journal of Applied Mathematics and Informatics (SCOPUS), 2023.

3. The valuation of timer power options with stochastic volatility
   M. Ha, D. Kim, S. Ahn & J.-H. Yoon*, Journal of the Korean Society for Industrial and Applied Mathematics (KCI), 2022.

4. Pricing vulnerable power options under a CEV diffusion
   M. Ha, D. Kim & J.-H. Yoon*, East Asian Mathematical Journal (KCI), 2021.

5. The pricing of vulnerable power options with double Mellin transforms
   M. Ha, Q. Li, D. Kim* & J.-H. Yoon, Journal of Applied Mathematics and Informatics (SCOPUS), 2021.

6. The pricing of vulnerable options under a constant elasticity of variance model
   J. U, D. Kim & J.-H. Yoon*, Journal of the Chungcheong Mathematical Society (KCI), 2020.

7. Recurrence Relations for Higher Order Moments of a Compound Binomial Random Variable
   D. Kim & Y. Kim*, East Asian Mathematical Journal (KCI), 2018.

Working Papers

1. American foreign equity lookback options with guarantees, with H. Lee

2. Pricing American-type equity indexed annuities with lookback features, with H. Lee & H. Ha

3. Valuing American lookback options with guarantees, with H. Lee, M. Lee & H. Ha

4. American outside barrier options, with H. Lee

5. Optimal land development decisions under hybrid stochastic and local volatility, with Y. H. Shin* & J.-H. Yoon.

6. Predicting market of agricultural commodities based on hybrid LSTM and Google Trends,
   with S. Park, M. Ha, S. H. Yi*, J.-H. Yoon, H. Lee, & I.-H. Jung, submitted.

7. Pricing of timer volatility-barrier options under Heston's stochastic volatility model, with M. Ha & J.-H. Yoon, submitted.

8. A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives, with M. Ha, J.-H. Yoon & J.-H. Kim, submitted.

9. Improved accuracy of option pricing under stochastic volatility models with techniques of accelerated deep learning, with J.-H. Yoon & J. Huh, submitted.

10. Pricing Perpetual American Strangle Options under Stochastic Volatility with a Fast Mean Reversion, with M. Ha, J.-H. Yoon & S.-Y. Choi, submitted.