← All authors Jaehyuk Choi Peking University (from arXiv:2101.09394, 2021) · ORCID · OpenAlex
17 papers in scope · 17 published · 1 on the econ.EM arXiv · 243 citations · h-index 6 (over the papers listed here)
Papers (1 of 17)
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
published 2025 · European Journal of Operational Research
with Lilian Hu, Yue Kuen Kwok
Exact simulation scheme for the Ornstein–Uhlenbeck driven stochastic volatility model with the Karhunen–Loève expansions
published 2025 · Operations Research Letters · 1 citations · first circulated 2024
Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding
published 2024 · Operations Research Letters · 2 citations · first circulated 2023
Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options
published 2024 · Journal of Futures Markets · 3 citations · first circulated 2018
with Jeechul Woo, Chenru Liu
Simulation schemes for the Heston model with Poisson conditioning
published 2023 · European Journal of Operational Research · 5 citations · first circulated 2022
with Yue Kuen Kwok
published 2023 · Journal of Forecasting · 5 citations · first circulated 2021
A Black–Scholes user's guide to the Bachelier model
published 2022 · Journal of Futures Markets · 1 citations · first circulated 2021
with Minsuk Kwak, Chyng Wen Tee, Yumeng Wang
The financial value of the within-government political network: Evidence from Chinese municipal corporate bonds
published 2021 · Finance research letters · 6 citations
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
published 2021 · Journal of Economic Dynamics and Control · 5 citations · first circulated 2019
with Lixin Wu
Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
published 2020 · Journal of Computational and Applied Mathematics · 4 citations · first circulated 2018
with Yeda Du, Qingshuo Song
Price discovery and microstructure in ether spot and derivative markets
published 2020 · International Review of Financial Analysis · 41 citations
BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
published 2019 · Journal of Futures Markets · 117 citations
Hyperbolic normal stochastic volatility model
published 2018 · Journal of Futures Markets · 18 citations · first circulated 2017
with Chenru Liu, Byoung Ki Seo
Strengthening budget institutions in Public Expenditure Management Peer Assisted Learning (PEMPAL) countries
published 2017 · OECD Journal on Budgeting · 2 citations
with Ronnie Downes, Knut Klepsvik, Joung-Jin Jang, Maya V. Gusarova, Deanna Aubrey, Naida Carsimamovic
FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS
published 2014 · Mathematical Finance · 3 citations · first circulated 2013
with Sungchan Shin
Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
published 2009 · Applied Mathematical Finance · 13 citations · first circulated 2007
with Kwangmoon Kim, Minsuk Kwak
Bid-ask spreads and volatility estimates
published 1989 · Journal of Banking & Finance · 17 citations
with Kuldeep Shastri
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