12 citations · 16 across the 4 of their papers we have counts for
5 papers
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Young Shin Kim
This paper proposes the sample path generation method for the stochastic volatility version of CGMY process. We present the Monte-Carlo method for European and American option pric…
Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Tetsuo Kurosaki, Young Shin Kim
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate…
Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk
Young Shin Kim
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribut…
Option Pricing in Markets with Informed Traders
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…
Enhancing Binomial and Trinomial Equity Option Pricing Models
Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree…