3 citations · 8 across the 12 of their papers we have counts for
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q-fin.PR2015★ 1 cited
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…
q-fin.PR2013★ 3 cited
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…