Preprint

1. Submitted paper

[1]. Sangmin Park, Mijin Ha, Seungheon Yi, Donghyun Kim, Ji-Hun Yoon, Hyojung Lee, Il-Hyo Jung, Predicting market of agricultural commodities based on hybrid LSTM and Google Trends, Submitted. (2023.09)

[2]. Mijin Ha, Donghyun Kim, Ji-Hun Yoon, Pricing of timer volatility–barrier options under Heston’s stochastic volatility model, In revision. (2023.12)

[3]. Donghyun Kim, Mijin Ha, Jeonghoon Kim, Ji-Hun Yoon, A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives, In revision, (2024.04)

[4]. Qi Li, Yong Hyun Shin, Ji-Hun Yoon, The Effects of Inflation Risk on Voluntary Retirement and Job Switching by a Martingale Approach, Submitted, (2024.02)

[5]. Donghyun Kim, Jeonggyu Huh, Ji-Hun Yoon, Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques, Submitted, (2024.02)

[6]. Mijin Ha, Donghyun Kim, Ji-Hun Yoon, Sun-Young Choi, Pricing of perpetual American strangle options under stochastic volatility with a fast mean reversion, In revision, (2024.02)

[7]. Seungheon Yi, Kyeong Tae Ko, Mijin Ha, Sangmin Park, Janghun Oh, Hyojung Lee, Ji-Hun Yoon, Analysis of the economic impact on the industry using financial transaction data during the COVID-19 pandemic, Submitted, (2024.02)

[8]. Qi Li, Yong Hyun Shin, Ji-Hun Yoon, The Effects of Life Insurance on Dynamic Asset Pricing Problem with Job Switching and Inflation Risk by a Martingale Approach, Submitted, (2024.04)

[9] Mijin Ha, Sangmin Park, Ji-Hun Yoon, Donghyun Kim, Pricing of American timer options, Submitted, (2024.06)

2. In preparation 

[1] TAKWON KIM, JI-HUN YOON, AND JINWAN PARK ,  EXISTENCE AND UNIQUENESS OF THE SOLUTION FOR DEGENERATE PARABOLIC EQUATIONS: APPLICATIONS TO FINANCIAL MODELLING , In preparation.

[2] Mijin Ha, Sangmin Park, Ji-Hun Yoon,  Stochastic volatility correction to American barrier options under constant elasticity of variance model, In preparation.

[3] Sun-Yong Choi, Ji-Hun Yoon, The correction of stochastic volatility to perpetual American strangle options under constant elasticity of variance model, In preparation.

[4] Sangmin Park, Mijin Ha, Ji-Hun Yoon, Valuation of American options under double-mean-reverting environment, In preparation.

[5] Donghyun Kim, Yong Hyun Shin, Ji-Hun Yoon, Optimal land development decisions under stochastic volatility with constant elasticity of variance, In preparation.