Publications
List of Papers (SCIE/SSCI)
[53] Junkee Jeon, Hyeng Keun Koo and Minsuk Kwak (2024+)
Human Capital and Portfolio Choice: Borrowing Constraint and Reversible Retirement
Mathematics and Financial Economics, accepted for publication.
[52] Junkee Jeon and Jehan Oh (2024)
Dynamic Asset Allocation and Consumption Ratcheting with Costs
Journal of Computational and Applied Mathematics, 448, 1 - 17, 115966.
[51] Junkee Jeon and Minsuk Kwak (2024)
Optimal Consumption and Investment with Welfare Constraints
Finance and Stochastics, 28(2), 391 - 451. (Read-Only Sharelink ) .
[50] Labor Supply Flexibility and Portfolio Selection with Early Retirement Option (2023)
Junkee Jeon and Jehan Oh
Applied Mathematics & Optimization, 88(3), 1-50.
[49] Junkee Jeon and Geonwoo Kim (2023)
Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications, 99, 1-20.
[48] Junkee Jeon and Hyeng Keun Koo (2023)
A Model of Retirement and Consumption-Portfolio Choice
Bulletin of the Korean Mathematical Society, 60(4), 1101-1129.
[47] Junkee Jeon and Kyunghyun Park (2023)
Optimal Job Switching and Retirement Decision
Applied Mathematics and Computation, 443, 127777.
[46] Junkee Jeon, Minsuk Kwak, and Kyunghyun Park (2023)
Horizon Effect on Optimal Retirement Decision
Quantitative Finance, 23(1), 123-148.
[45] Jeonggyu Huh, Junkee Jeon, and Kyunghyun Park (2023)
Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility
Japan Journal of Industrial and Applied Mathematics, 40, 1-39.
[44] Kexin Chen, Junkee Jeon, and Hoi Ying Wong (2022)
Optimal Retirement Problem under Partial Information [SSRN]
Mathematics of Operations Research, 47(3), 1707-2545.
[43] Junkee Jeon and Geonwoo Kim (2022)
An integral equation representation for American better-of option on two underlying assets
Advances in Continuous and Discrete Models, 39.
[42] Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park (2022)
Optimal Finite Horizon Contract with Limited Commitment [SSRN]
Mathematics and Financial Economics, 16(2), 267 - 315.
[41] Kyoung Jin Choi, Junkee Jeon, Hoseok Lee, and Hsuan-Chih (Luke) Lin (2022)
Optimal Long-term Contracts with Disability Insurance under Limited Commitment [SSRN]
Insurance: Mathematics and Economics, 104(C), 99-132.
[40] Junkee Jeon and Minsuk Kwak (2022)
A variational inequality arising from optimal surrender of variable annuity with lookback benefit
Journal of Inequalities and Applications, 8, 1-21.
[39] Junkee Jeon and Geonwoo Kim (2022)
Pricing European continuous-installment currency options with mean-reversion
North American Journal of Economics & Finance, 59(C), #101605.
[38] Kyoung Jin Choi, Junkee Jeon, and Hyeng Keun Koo (2022)
Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude [SSRN] [Supplemental Material]
Journal of Economic Theory, 200(C), #105380.
[37] Junkee Jeon and Jehan Oh (2022)
Finite Horizon Portfolio Selection Problem with a Drawdown Constraint on Consumption
Journal of Mathematical Analysis and Applications, 506(1), #125542.
[36] Junkee Jeon, Hyeng Keun Koo, Yong Hyun Shin, and Zhou Yang (2021)
An integral equation representation for optimal retirement strategies in portfolio selection problem
Computational Economics, 58, 885-914.
[35] Junkee Jeon and Kyunghyun Park (2021)
Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model
Mathematical Methods of Operations Research. 93, 243-289.
[34] Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park (2021)
Finite Horizon Portfolio Selection with Durable Goods,
Mathematical Social Sciences. 111(C), 55-67.
[33] Junkee Jeon and Kyunghyun Park (2021)
Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee
Bulletin of the Korean Mathematical Society. 58(2), 349-364.
[32] Junkee Jeon and Minsuk Kwak (2021)
Pricing Variable Annuity with Surrender Guarantee
Journal of Computational and Applied Mathematics. 393, #113508.
[31] Junkee Jeon, Myungjoo Kang, and Yong Hyun Shin (2021)
Finite Time-Horizon Optimal Investment and Consumption with Time-Varying Subsistence Consumption Constraints
Japan Journal of Industrial and Applied Mathematics, 38(1), 353-377.
[30] Junkee Jeon (2021)
Finite horizon portfolio selection problems with stochastic borrowing constraints
Journal of Industrial & Management Optimization, 38(1), 353-377.
[29] Hyeonuk Kim, Junkee Jeon, Kyunghyun Park, Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang (2021)
Candidate Point Selection using a Self-Attention Mechanism for Generating a Smooth Volatility Surface under the SABR model
Expert Systems With Applications, 173(1), 114640.
[28] Junkee Jeon, Jeonggyu Huh, and Kyunghyun Park (2020)
An analytic approximation for the valuation of American option under a Heston-model in two regimes
Computational Economics, 56(2), 499-528.
[27] Junkee Jeon and Kyunghyun Park (2020)
Dynamic asset allocation with consumption ratcheting post retirement
Applied Mathematics and Computation, 385(C), #125418.
[26] Se Yung Bae, Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park (2020)
Social Insurance for the Elderly
Economic Modelling, 91, 274-299.
[25] Junkee Jeon and Kyunghyun Park (2020)
Optimal Retirement and Portfolio Selection with Consumption Ratcheting
Mathematics and Financial Economics, 14(4), 353-397.
[24] Junkee Jeon and Geonwoo Kim (2020)
Efficient valuation of a variable annuity contract with a surrender option
Japan Journal of Industrial and Applied Mathematics, 37(1), 249-262.
[23] Junkee Jeon and Jehan Oh (2020)
(1+2)-dimensional Black-Scholes equation with mixed boundary condition
Communications on Pure and Applied Analysis, 19(2), 1-16.
[22] Junkee Jeon, Sun-yong Choi, and Ji-Hun Yoon (2020)
Analytic valuation of European continuous-installment barrier options
Journal of Computational and Applied Mathematics, 364, 392-412.
[21] Junkee Jeon and Geonwoo Kim (2019)
Pricing European continuous-installment strangle options
North American Journal of Economics and Finance, 50, #101049.
[20] Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin (2019)
Ratcheting with a Bliss Level of Consumption
Optimization Letters, 10(7), 1535–1556.
[19] Junkee Jeon and Geonwoo Kim (2019)
An integral equation approach for optimal investments policies with partially reversibility
Chaos Solitons & Fractals, 125, 73-78.
[18] Junkee Jeon and Yong Hyun Shin (2019)
Finite horizon portfolio selection with a negative wealth constraint
Journal of Computational and Applied Mathematics, 356C, 329-338.
[17] Kyunghyun Park and Junkee Jeon (2019)
Finite horizon optimal consumption and investment problem with a preference change
Journal of Mathematical Analysis and Applications, 472(2), 1777-1802.
[16] Junkee Jeon and Jehan Oh (2019)
Valuation of American strangle option: Variational Inequality Approach
Discrete & Continuous Dynamical Systems - B, 24(2), 755-781.
[15] Junkee Jeon and Geonwoo Kim (2019)
Pricing of vulnerable options with early counterparty credit risk
North American Journal of Economics and Finance, 47, 645-656.
[14] Junkee Jeon and Minsuk Kwak (2018)
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
Insurance : Mathematics and Economics, 83, 93-109.
[13] Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin (2018)
Portfolio selection with consumption ratcheting
Journal of Economic Dynamics and Control , 92, 153-182.
[12] Geonwoo Kim and Junkee Jeon (2018)
Closed-form solutions for valuing partial lookback options with random initiation
Finance Research Letters, 24C, 321-327.
[11] Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park (2018)
Pricing dynamic fund protection with default risk
Journal of Computational and Applied Mathematics, 449, 207-227.
[10] Kyunghyun Park and Junkee Jeon (2017)
A simple and fast method for valuing American knock-out options with rebates
Chaos Solitons & Fractals, 103, 364-370.
[09] Myungjoo Kang, Junkee Jeon, Heejae Han and Somin Lee (2017)
Analytic solution for American Strangle options using Laplace-Carson transforms
Communications in Nonlinear Science and Numerical Simulation, 47, 292-307.
[08] Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park (2017)
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
Journal of Mathematical Analysis and Applications, 449, 207-227.
[07] Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang (2017)
Pricing vulnerable path-dependent options using integral transforms
Journal of Computational and Applied Mathematics, 313, 259-272.
[06] Junkee Jeon, Heejae Han, and Myungjoo Kang (2017)
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
Journal of Computational and Applied Mathematics, 313, 218-234.
[05] Junkee Jeon and Ji-Hun Yoon (2016)
Pricing external-chained barrier options with exponential barriers
Bulletin of the Korean Mathematical Society, 53, 1497-1530.
[04] Heejae Han, Junkee Jeon, and Myungjoo Kang (2016)
Pricing chained dynamic fund protection
North American Journal of Economics and Finance, 37C, 267-278.
[03] Heejae Han, Junkee Jeon, and Myungjoo Kang (2016)
Closed form valuation of American chained knock-in options
Finance Research Letters, 17C, 176-185.
[02] Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang (2016)
Valuing vulnerable geometric Asian options
Computer & Mathematics with Applications, 71(2), 676-691.
[01] Junkee Jeon, Heejae Han, Hyun-uk Kim, and Myungjoo Kang (2016)
An integral equation representation approach for Russian options with finite time horizon
Communications in Nonlinear Science and Numerical Simulation, 36, 496-516.
Surveys
[01] Seyung Bae, Junkee Jeon, and Hyeng Keun Koo (2020)
Continuous-Time Portfolio Selection: A Cursory Survey,
frontiers in Applied Mathematics and Statistics , 6, 1-9.