17 citations · 55 across the 19 of their papers we have counts for
19 papers
General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations
Hyong-Chol O, Tae-Song Choe
We study general properties such as the solution representation of a moving boundary value problem of the Black-Scholes equation, its min-max estimation, lower and upper gradient e…
Solution Representations of Solving Problems for the Black-Scholes equations and Application to the Pricing Options on Bond with Credit Risk
Hyong-Chol O, Tae-Song Kim, Tae-Song Choe
In this paper is investigated the pricing problem of options on bonds with credit risk based on analysis on two kinds of solving problems for the Black-Scholes equations. First, a…
Variational inequality for perpetual American option price and convergence to the solution of the difference equation
Hyong-chol O, Song-San Jo
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solu…
Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications
Hyong-Chol O, Dae-Sung Choe
In this paper the Buchen's pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula…
Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
Hyong-Chol O., Jong-Chol Kim, Il-Gwang Jon
Conditions of Stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate…
Cauchy type problems of linear Riemann-Liouville fractional differential equations with variable coefficients
Myong-Ha Kim, Guk-Chol Ri, Gum-Song Choe +1
The existence of solutions to Cauchy type problems of linear Riemann-Liouville fractional differential equations with variable coefficients is considered in a space of integrable f…
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…
A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations
Hyong-chol O, Yong-hwa Ro, Ning Wan
We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a…
A construction of fractal surfaces with function scaling factors on a rectangular grid
Chol-Hui Yun, Hui-Chol Choi, Hyong-Chol O
A fractal surface is a set which is a graph of a bivariate continuous function. In the construction of fractal surfaces using IFS, vertical scaling factors in IFS are important one…
A Periodic Solution to Impulsive Logistic Equation
Gyong-Chol Kim, Hyong-Chol O, Sang-Mun Kim +1
In this paper is provided a new representation of periodic solution to the impulsive Logistic equation considered in [7].
Conditions for Bifurcations in a Non-Autonomous Scalar Differential Equation
Sang-Mun Kim, Hyong-Chol O
In this paper are provided some sufficient conditions for a non autonomous scalar differential equation to have saddle node, transcritical and pitchfork bifurcations using higher o…
Comprehensive Unified Models of Structural and Reduced Form Models for Defaultable Fixed Income Bonds (Part 1: One factor-model, Part 2:Two factors-model)
Hyong-Chol O, Song-Yon Kim, Dong-Hyok Kim +1
Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are pro…
Construction of Recurrent Fractal Interpolation Surfaces with Function Scaling Factors and Estimation of Box-counting Dimension on Rectangular Grids
Chol-Hui Yun, Hui-Chol Choi, Hyong-Chol O
We consider a construction of recurrent fractal interpolation surfaces with function vertical scaling factors and estimation of their box-counting dimension. A recurrent fractal in…
Representation of Solutions of Linear Homogeneous Caputo Fractional Differential Equations with Continuous Variable Coefficients
Sun-Ae Pak, Myong-Ha Kim, Hyong-Chol O
We consider the canonical fundamental systems of solutions of linear homogeneous Caputo fractional differential equations with continuous variable coefficients. Here we gained a se…
An Efficient Bilinear Pairing-Free Certificateless Two-Party Authenticated Key Agreement Protocol in the eCK Model
Yong-Jin Kim, Yong-Min Kim, Yong-Jin Choe +1
Recent study on certificateless authenticated key agreement focuses on bilinear pairing-free certificateless authenticated key agreement protocol. Yet it has got limitations in the…
Construction of Fractal Surfaces by Recurrent Fractal Interpolation Curves
Chol-hui Yun, Hyong-chol O., Hui-chol Choi
A method to construct fractal surfaces by recurrent fractal curves is provided. First we construct fractal interpolation curves using a recurrent iterated functions system(RIFS) wi…
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…
Existence and Solution-representation of IVP for LFDE with Generalized Riemann-Liouville fractional derivatives and terms
Myong-Ha Kim, Guk-Chol Ri, Hyong-Chol O
This paper provides the existence and representation of solution to an initial value problem for the general multi-term linear fractional differential equation with generalized Rie…
Explicit Representations of Green's Function for Linear Fractional Differential Operator with Variable Coefficients
Myong-Ha Kim, Hyong-Chol O
We provide explicit representations of Green's functions for general linear fractional differential operators with {\it variable coefficients} and Riemann-Liouvilles derivatives. W…