17 citations · 94 across the 18 of their papers we have counts for
5 papers · 1 filter
Analytic formula for option margin with liquidity costs under dynamic delta hedging
Kyungsub Lee, Byoung Ki Seo
This study derives the expected liquidity cost when performing the delta hedging process of a European option. This cost is represented by an integration formula that includes Euro…
Risk-neutral option pricing under GARCH intensity model
Kyungsub Lee
The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volati…
Performance of tail hedged portfolio with third moment variation swap
Kyungsub Lee, Byoung Ki Seo
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of…
High moment variations and their application
Geon Ho Choe, Kyungsub Lee
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift.…
Recursive formula for arithmetic Asian option prices
Kyungsub Lee
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-ne…