• 531 Citations
  • 14 h-Index
19962020

Research output per year

If you made any changes in Pure these will be visible here soon.

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output

  • 531 Citations
  • 14 h-Index
  • 77 Article
  • 2 Comment/debate

Pricing generalized variance swaps under the Heston model with stochastic interest rates

Kim, S. W. & Kim, J. H., 2020 Feb, In : Mathematics and Computers in Simulation. 168, p. 1-27 27 p.

Research output: Contribution to journalArticle

  • A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

    Huh, J., Jeon, J., Kim, J. H. & Park, H., 2019 Jan 2, In : Quantitative Finance. 19, 1, p. 155-175 21 p.

    Research output: Contribution to journalArticle

  • Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility

    Kim, S. W. & Kim, J. H., 2019 Apr, In : North American Journal of Economics and Finance. 48, p. 149-169 21 p.

    Research output: Contribution to journalArticle

  • Analytic solutions for variance swaps with double-mean-reverting volatility

    Kim, S. W. & Kim, J. H., 2018 Sep, In : Chaos, Solitons and Fractals. 114, p. 130-144 15 p.

    Research output: Contribution to journalArticle

  • 2 Citations (Scopus)

    A scaled version of the double-mean-reverting model for VIX derivatives

    Huh, J., Jeon, J. & Kim, J-H., 2018 Sep 1, In : Mathematics and Financial Economics. 12, 4, p. 495-515 21 p.

    Research output: Contribution to journalArticle