2 citations · 2 across the 2 of their papers we have counts for
8 papers
Sharp asymptotics for a free boundary touching a degenerate boundary: the perpetual Heston put
Takwon Kim, Junkee Jeon, Jehan Oh
We study the exercise boundary of the perpetual American put in the Heston model near zero variance. There the pricing operator degenerates, and the exercise boundary, a free bound…
Interior smoothness and zero-variance geometry for finite-maturity Heston American puts
Junkee Jeon, Takwon Kim, Jehan Oh
We study finite-maturity American puts in the Heston model without the Feller condition. At positive variance, the exercise boundary is smooth and strictly decreasing in remaining…
A Mean Field Model of Consumption Inertia and Keeping Up with the Joneses
Junkee Jeon
Households compare their living standard with others' and dislike changing it. We study consumption and investment when felicity depends on consumption relative to a benchmark, the…
Consumption adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
Consumption and Investment When Welfare Floors Change over Time
Gugyum Ha, Junkee Jeon, Takwon Kim
We study consumption and investment over a finite horizon when continuation utility must stay above a welfare floor that changes over time, and the floor at the horizon acts as a t…
Finite-Horizon Reversible Investment under Multi-Factor Dynamics
Junkee Jeon, Takwon Kim, Jinwan Park +1
We study a finite-horizon reversible investment problem in which a risk-neutral firm adjusts capacity at a proportional purchase cost and a lower salvage value under multi-factor g…
Finite-Horizon Optimal Consumption and Investment with Time-Varying Job-Switching Costs
Gugyum Ha, Junkee Jeon, Jihoon Ok
In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the…
A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization
Zhou Yang, Junkee Jeon
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring t…