5 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.CP2014
A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations
Hyong-chol O, Yong-hwa Ro, Ning Wan
We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a…
q-fin.PR2013
The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations
Hyong-chol O, Yong-hwa Ro, Ning Wan
The change of numeraire gives very important computational simplification in option pricing. This technique reduces the number of sources of risks that need to be accounted for and…
q-fin.PR2013★ 5 cited
Analytical Pricing of Defaultable Bond with Stochastic Default Intensity
Hyong-Chol O, Ning Wan
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with consta…