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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 adjustment with mean-reverting risk premia: A singular stochastic control approach
Gugyum Ha, Junkee Jeon, Jehan Oh
We study a two-sided singular stochastic control problem in which changes in consumption carry utility costs and the risk premium follows the mean-reverting Kim-Omberg model. Optim…
math.AP2026
American condor contracts with a cash component: A variational inequality approach
Kiyuob Jung, Jehan Oh, Namgwang Woo
We study a jointly exercised American condor contract whose payoff is a call condor payoff plus a positive cash amount. Its plateau and positive tails produce two inner exercise bo…