3 citations · 8 across the 12 of their papers we have counts for
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math.PR2013★ 1 cited
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…
math-ph2013
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…
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…