22 citations · 65 across the 12 of their papers we have counts for
12 papers
Information extraction and artwork pricing
Jaehyuk Choi, Lan Ju, Jian Li +1
Traditional art pricing models often lack fine measurements of painting content. This paper proposes a new content measurement: the Shannon information quantity measured by the sin…
Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
Jaehyuk Choi, Jeonggyu Huh, Nan Su
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893…
Option pricing under the normal SABR model with Gaussian quadratures
Jaehyuk Choi, Byoung Ki Seo
The stochastic-alpha-beta-rho (SABR) model has been widely adopted in options trading. In particular, the normal () SABR model is a popular model choice for interest rates bec…
Simulation schemes for the Heston model with Poisson conditioning
Jaehyuk Choi, Yue Kuen Kwok
Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluat…
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…
The financial value of the within-government political network: Evidence from Chinese municipal corporate bonds
Jaehyuk Choi, Lei Lu, Heungju Park +1
This paper examines the effect of the political network of Chinese municipal leaders on the pricing of municipal corporate bonds. Using municipal leaders' working experience to mea…
A Black-Scholes user's guide to the Bachelier model
Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee +1
To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges temporarily switched the option model from Black--Scholes to Bachel…
Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach
Jaehyuk Choi, Desheng Ge, Kyu Ho Kang +1
The literature on using yield curves to forecast recessions customarily uses 10-year--three-month Treasury yield spread without verification on the pair selection. This study inves…
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…
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…
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…