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q-fin.PR2018★ 3 cited
First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
Young Shin Kim
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic functi…
q-fin.PR2016
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
Y. S. Kim, S. Stoyanov, S. Rachev +1
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rud…