Publications

Published and Accepted Papers (SCIE & SSCI)

1. Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques
   Donghyun Kim, Jeonggyu Huh*, & Ji-Hun Yoon
   Computers and Mathematics with Applications (SCIE), accepted.

2. Pricing of American timer options
   Mijin Ha, Sangmin Park, Ji-Hun Yoon*, Donghyun Kim
   The North American Journal of Economics and Finance (SSCI), 2025.

3. Pricing of vulnerable timer options
   Donghyun Kim, Mijin Ha, Sun-Yong Choi & Ji-Hun Yoon*
   Computational Economics (SCIE & SSCI), 2025.

4. Pricing of timer volatility-barrier options under Heston's stochastic volatility model
   Mijin Ha, Donghyun Kim, Ji-Hun Yoon*
   Journal of Computational and Applied Mathematics (SCIE), 2025.

5. Pricing Perpetual American Strangle Options under Stochastic Volatility with a Fast Mean Reversion
   Mijin Ha, Donghyun Kim, Ji-Hun Yoon* & Sun-Yong Choi
   Mathematics and Computers in Simulation (SCIE), 2025.

6. A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
   Donghyun Kim, Mijin Ha, Jeong-Hoon Kim & Ji-Hun Yoon*
   The Quarterly Review of Economics and Finance (SSCI), 2024.

7. An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility
   Sun-Yong Choi, Donghyun Kim & Ji-Hun Yoon
   AIMS Mathematics (SCIE), 2024.

8. The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
   Donghyun Kim, Yong Hyun Shin* & Ji-Hun Yoon
   The North American Journal of Economics and Finance (SSCI), 2024.

9. Valuing of Timer Path-dependent Options
   Mijin Ha, Donghyun Kim & Ji-Hun Yoon*
   Mathematics and Computers in Simulation (SCIE), 2024.

10. Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk
    Donghyun Kim & Ji-Hun Yoon*
    Japan Journal of Industrial and Applied Mathematics (SCIE), 2023.

11. Pricing American Lookback Options Under a Stochastic Volatility Model
    Donghyun Kim, Junhui Woo & Ji-Hun Yoon*
    Bulletin of the Korean Mathematical Society (SCIE), 2023.

12. Analytic Method for Pricing Vulnerable External Barrier Options
    Donghyun Kim & Ji-Hun Yoon*
    Computational Economics (SCIE & SSCI), 2023.

13. Pricing of vulnerable exchange options with early counterparty credit risk
    Donghyun Kim, Geonwoo Kim & Ji-Hun Yoon*
    The North American Journal of Economics and Finance (SSCI), 2022.

14. Closed-form pricing formula for foreign equity option with credit risk
    Donghyun Kim, Ji-Hun Yoon & Geonwoo Kim*
    Advances in Continuous and Discrete Models (SCIE), 2021.

15. Pricing external barrier options under a stochastic volatility model
    Donghyun. Kim, Ji-Hun Yoon* & Chang-Rae Park
    Journal of Computational and Applied Mathematics (SCIE), 2021.

16. Pricing of vulnerable options under hybrid stochastic and local volatility
    Donghyun Kim, Sun-Yong Choi & Ji-Hun Yoon*
    Chaos, Solitons & Fractals (SCIE), 2021.

Published and Accepted Papers (SCOPUS & KCI)

1. Pricing of timer-digital power options
   Mijin Ha, Sangmin Park, Donghyun Kim & Ji-Hun Yoon*
   East Asian Mathematical Journal (KCI), 2023.

2. The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
   Mijin Ha, Donghyun Kim* & Ji-Hun Yoon
   Journal of Applied Mathematics and Informatics (SCOPUS), 2023.

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

4. Pricing vulnerable power options under a CEV diffusion
   Mijin Ha, Donghyun Kim & Ji-Hun Yoon*
   East Asian Mathematical Journal (KCI), 2021.

5. The pricing of vulnerable power options with double Mellin transforms
   Mijin Ha, Qi Li, Donghyun Kim* & Ji-Hun Yoon
   Journal of Applied Mathematics and Informatics (SCOPUS), 2021.

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

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

Working Papers

1. Pricing American pandemic options under a stochastic susceptible-infected-susceptible model, with G. Jang and S. Yi, submitted.

2. Optimal land development decisions in stochastic environments, with Y. H. Shin and J.-H. Yoon.

3. Pricing basket options under stochastic volatility, with D. Jun and S. Y. Cho

4. Valuing Airbag options under stochastic volatility, with J.-H. Yoon and M. Ha

5. Pricing path-dependent options under extended stochastic and local volatility

6. Pricing power options under hybrid stochastic and local volatility