• 555 Citations
  • 15 h-Index
19962020

Research output per year

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

Fingerprint Dive into the research topics where Jeong-Hoon Kim is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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

Research Output

  • 555 Citations
  • 15 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

  • 1 Citation (Scopus)

    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

  • 3 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