4 citations · 4 across the 14 of their papers we have counts for
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q-fin.MF2019
Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition
Hyungbin Park
This paper investigates the large-time asymptotic behavior of the sensitivities of cash flows. In quantitative finance, the price of a cash flow is expressed in terms of a pricing…
q-fin.MF2019
Hedging short-maturity Asian options in local volatility models
Jiuk Jang, Jaehyun Kim, Hyungbin Park +1
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option havin…
q-fin.MF2019
A sensitivity analysis of the long-term expected utility of optimal portfolios
Hyungbin Park, Stephan Sturm
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given…