3 citations · 8 across the 12 of their papers we have counts for
12 papers
A Numerical Scheme For High-dimensional Backward Stochastic Differential Equation Based On Modified Multi-level Picard Iteration
Chol-Kyu Pak, Mun-Chol Kim, Hun O
In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The propose…
Stochastic Gronwall's inequality in random time horizon and its application to BSDE
Hun O, Mun-Chol Kim, Chol-Gyu Pak
In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…
Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(μsqrt(2log(1+L)))}-integrable terminal values and monotonic generators
Hun O, Mun-Chol Kim, Chol-Gyu Pak
This paper considers a class of scalar backward stochastic differential equations (BSDEs) with -integrable terminal values. We associate these BSDEs with…
A generalized scheme for BSDEs based on derivative approximation and its error estimates
Chol-Kyu Pak, Mun-Chol Kim, O Hun
In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange inte…
Adapted -Scheme and Its Error Estimates for Backward Stochastic Differential Equations
Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional -scheme, we reduce truncation er…
An efficient third-order scheme for BSDEs based on nonequidistant difference scheme
Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim
In this paper we propose an efficient third-order numerical scheme for backward stochastic differential equations(BSDEs). We use 3-point Gauss-Hermite quadrature rule for approxima…
A Framework of BSDEs with Stochastic Lipschtz Coefficients through Time Change
Hun O, Mun-chol Kim, Chol-kyu Pak
In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the…
Existence of smooth solutions of multi-term Caputo-type fractional differential equations
Chung-Sik Sin, Shusen Cheng, Gang-Il Ri +1
This paper deals with the initial value problem for the multi-term fractional differential equation. The fractional derivative is defined in the Caputo sense. Firstly the initial v…
The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients
Hyong-chol O, Song-gon Jang, Il-Gwang Jon +3
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volati…
Backward stochastic differential equations with stopping time as time horizon
Mun-Chol Kim, Chol-Kyu Pak
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on ba…
The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet
Song-Yon Kim, Mun-Chol Kim
In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the orde…
The Pricing of Multiple-Expiry Exotics
Hyong-Chol O, Mun-Chol KiM
In this paper we extend Buchen's method to develop a new technique for pricing of some exotic options with several expiry dates(more than 3 expiry dates) using a concept of higher…