17 citations · 55 across the 19 of their papers we have counts for
8 papers · 1 filter
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…
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…
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…
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…