3 papers
q-fin.MF2026
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…
math.OC2026
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…
q-fin.MF2026
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…