• 508 Citations
  • 14 h-Index
19962020
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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.

Stochastic Volatility Mathematics
Controllability Engineering & Materials Science
Elasticity Mathematics
Pricing Mathematics
Volatility Mathematics
Fixed point theorem Mathematics
Option Pricing Mathematics
European Options Mathematics

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Research Output 1996 2020

  • 508 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

Heston Model
Stochastic Interest Rates
Generalized Variance
Swap
Pricing

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

Option pricing
European options
Multi-factor
Stochastic volatility
Assets

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

Stochastic volatility
Variance swap
Stochastic volatility model
Factors
Mean reversion
2 Citations (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

Swap
volatility
Analytic Solution
Volatility
Heston Model

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

Derivative
Heston Model
Model
Stochastic Volatility Model
Factor Models