22 citations · 22 across the 2 of their papers we have counts for
3 papers
q-fin.MF2021★ 22 cited
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…
q-fin.PM2014
Risk minimization and portfolio diversification
Farzad Pourbabaee, Minsuk Kwak, Traian A. Pirvu
We consider the problem of minimizing capital at risk in the Black-Scholes setting. The portfolio problem is studied given the possibility that a correlation constraint between the…
math.OC2012
A Multi Period Equilibrium Pricing Model
Traian A. Pirvu, Huayue Zhang
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded…