11 citations · 24 across the 7 of their papers we have counts for
7 papers
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…
General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application
Hyong-Chol O, Ji-Sok Kim
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estim…
Higher Order Binaries with Time Dependent Coefficients and Two Factors - Model for Defaultable Bond with Discrete Default Information
Hyong-Chol O, Yong-Gon Kim, Dong-Hyok Kim
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate proc…
Integrals of Higher Binary Options and Defaultable Bond with Discrete Default Information
Hyong-Chol O, Dong-Hyok Kim, Jong-Jun Jo +1
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options…
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…
The Pricing of A Moving Barrier Option
Hyong-chol O
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock…