4 papers
Improved iterative methods for solving risk parity portfolio
Jaehyuk Choi, Rong Chen
Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to num…
A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'
Jaehyuk Choi, Lixin Wu
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide a small-time asymptotics for the mass at zero under the uncorrelated stochastic-alpha-beta-rho (SABR) model by…
Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options
Jaehyuk Choi
Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under mu…
Fast swaption pricing in Gaussian term structure models
Jaehyuk Choi, Sungchan Shin
We propose a fast and accurate numerical method for pricing European swaptions in multi-factor Gaussian term structure models. Our method can be used to accelerate the calibration…