17 citations · 21 across the 2 of their papers we have counts for
2 papers
q-fin.CP2018★ 4 cited
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
Jeechul Woo, Chenru Liu, Jaehyuk Choi
The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahe…
q-fin.MF2018★ 17 cited
Hyperbolic normal stochastic volatility model
Jaehyuk Choi, Chenru Liu, Byoung Ki Seo
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter…