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Jaehyuk Choi

Personal Details

First Name:Jaehyuk
Middle Name:
Last Name:Choi
Suffix:
RePEc Short-ID:pch2015
[This author has chosen not to make the email address public]
https://jaehyukchoi.net/phbs_en

Affiliation

HSBC Business School
Peking University

Shenzhen, China
http://www.phbs.pku.edu.cn/
RePEc:edi:sbpekcn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jaehyuk Choi & Desheng Ge & Kyu Ho Kang & Sungbin Sohn, 2021. "Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach," Papers 2101.09394, arXiv.org, revised Jan 2022.
  2. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
  3. Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
  4. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
  5. Jaehyuk Choi, 2018. "Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options," Papers 1805.03172, arXiv.org.
  6. Jaehyuk Choi & Sungchan Shin, 2018. "Fast swaption pricing in Gaussian term structure models," Papers 1803.08803, arXiv.org.
  7. Jaehyuk Choi & Yeda Du & Qingshuo Song, 2018. "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution," Papers 1810.01116, arXiv.org, revised Dec 2020.
  8. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
  9. Jeechul Woo & Chenru Liu & Jaehyuk Choi, 2018. "Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options," Papers 1810.02071, arXiv.org, revised May 2024.

Articles

  1. Jaehyuk Choi & Lixin Wu, 2021. "A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’," Quantitative Finance, Taylor & Francis Journals, vol. 21(7), pages 1083-1086, July.
  2. Choi, Jaehyuk & Wu, Lixin, 2021. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  3. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
  4. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
  5. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
  6. Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
  7. Jaehyuk Choi & Sungchan Shin, 2016. "Fast Swaption Pricing In Gaussian Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 962-982, October.
  8. Jaehyuk Choi & Kwangmoon Kim & Minsuk Kwak, 2009. "Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 261-268.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.

    Cited by:

    1. Daniel Guterding, 2023. "Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities," Risks, MDPI, vol. 11(5), pages 1-24, April.

  2. Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.

    Cited by:

    1. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
    2. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
    3. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
    4. Jaehyuk Choi & Lilian Hu & Yue Kuen Kwok, 2024. "Efficient simulation of the SABR model," Papers 2408.01898, arXiv.org.
    5. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.

  3. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.

    Cited by:

    1. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
    2. Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
    3. Jaehyuk Choi & Lilian Hu & Yue Kuen Kwok, 2024. "Efficient simulation of the SABR model," Papers 2408.01898, arXiv.org.
    4. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.

  4. Jaehyuk Choi, 2018. "Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options," Papers 1805.03172, arXiv.org.

    Cited by:

    1. Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
    2. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
    3. Matteo Gardini & Piergiacomo Sabino, 2022. "Exchange option pricing under variance gamma-like models," Papers 2207.00453, arXiv.org.
    4. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
    5. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
    6. Anatoliy A. Pogorui & Anatoliy Swishchuk & Ramón M. Rodríguez-Dagnino, 2022. "Asymptotic Estimation of Two Telegraph Particle Collisions and Spread Options Valuations," Mathematics, MDPI, vol. 10(13), pages 1-14, June.

  5. Jaehyuk Choi & Sungchan Shin, 2018. "Fast swaption pricing in Gaussian term structure models," Papers 1803.08803, arXiv.org.

    Cited by:

    1. Xiangfeng Yang & Hua Ke, 2023. "Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption," Fuzzy Optimization and Decision Making, Springer, vol. 22(3), pages 447-462, September.

  6. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.

    Cited by:

    1. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
    2. Choi, Jaehyuk & Kwok, Yue Kuen, 2024. "Simulation schemes for the Heston model with Poisson conditioning," European Journal of Operational Research, Elsevier, vol. 314(1), pages 363-376.
    3. Jaehyuk Choi & Lixin Wu, 2019. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Papers 1911.13123, arXiv.org, revised Jun 2021.
    4. Jaehyuk Choi, 2024. "Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions," Papers 2402.09243, arXiv.org.
    5. Jaehyuk Choi & Lixin Wu, 2020. "A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'," Papers 2011.00557, arXiv.org, revised Apr 2021.
    6. Jaehyuk Choi & Yue Kuen Kwok, 2023. "Simulation schemes for the Heston model with Poisson conditioning," Papers 2301.02800, arXiv.org, revised Nov 2023.
    7. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
    8. Jaehyuk Choi & Lilian Hu & Yue Kuen Kwok, 2024. "Efficient simulation of the SABR model," Papers 2408.01898, arXiv.org.
    9. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.

  7. Jeechul Woo & Chenru Liu & Jaehyuk Choi, 2018. "Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options," Papers 1810.02071, arXiv.org, revised May 2024.

    Cited by:

    1. Zhiyi Shen & Chengguo Weng, 2019. "A Backward Simulation Method for Stochastic Optimal Control Problems," Papers 1901.06715, arXiv.org.

Articles

  1. Jaehyuk Choi & Lixin Wu, 2021. "A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’," Quantitative Finance, Taylor & Francis Journals, vol. 21(7), pages 1083-1086, July.
    See citations under working paper version above.
  2. Choi, Jaehyuk & Wu, Lixin, 2021. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    See citations under working paper version above.
  3. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.

    Cited by:

    1. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    2. Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023. "Forecasting mid-price movement of Bitcoin futures using machine learning," Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
    3. Azhar Mohamad & Sarveshwar Kumar Inani, 2023. "Price discovery in bitcoin spot or futures during the Covid-19 pandemic? Evidence from the time-varying parameter vector autoregressive model with stochastic volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 30(19), pages 2749-2757, November.
    4. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Forecasting, MDPI, vol. 3(2), pages 1-44, May.
    5. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    6. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    7. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    8. Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
    9. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    10. Erdong Chen & Mengzhong Ma & Zixin Nie, 2024. "Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior," Electronic Markets, Springer;IIM University of St. Gallen, vol. 34(1), pages 1-36, December.
    11. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    12. Guillermo Angeris & Tarun Chitra & Alex Evans & Matthew Lorig, 2022. "A primer on perpetuals," Papers 2209.03307, arXiv.org.
    13. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    14. Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
    15. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    16. Songrun He & Asaf Manela & Omri Ross & Victor von Wachter, 2022. "Fundamentals of Perpetual Futures," Papers 2212.06888, arXiv.org, revised Aug 2024.
    17. Arun Narayanasamy & Humnath Panta & Rohit Agarwal, 2023. "Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment," JRFM, MDPI, vol. 16(11), pages 1-24, November.
    18. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    19. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    20. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    21. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
    22. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    23. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.
    24. Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
    25. Bouteska, Ahmed & Harasheh, Murad, 2023. "Bitcoin volatility and the introduction of bitcoin futures: A portfolio construction approach," Finance Research Letters, Elsevier, vol. 57(C).
    26. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.
    27. Day, Min-Yuh & Ni, Yensen, 2023. "The profitability of seasonal trading timing: Insights from energy-related markets," Energy Economics, Elsevier, vol. 128(C).
    28. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021. "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers 2108.09750, arXiv.org.
    29. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    30. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    31. Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
    32. Erdong Chen & Mengzhong Ma & Zixin Nie, 2024. "Exploring the Impact: How Decentralized Exchange Designs Shape Traders' Behavior on Perpetual Future Contracts," Papers 2402.03953, arXiv.org, revised Apr 2024.
    33. Jun Deng & Huifeng Pan & Shuyu Zhang & Bin Zou, 2021. "Optimal Bitcoin trading with inverse futures," Annals of Operations Research, Springer, vol. 304(1), pages 139-163, September.
    34. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
    35. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021. "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, vol. 53(47), pages 5415-5428, October.
    36. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
    37. Felföldi-Szűcs, Nóra & Králik, Balázs & Váradi, Kata, 2024. "Put–call parity in a crypto option market — Evidence from Binance," Finance Research Letters, Elsevier, vol. 61(C).
    38. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    39. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    40. Hattori, Takahiro & Ishida, Ryo, 2021. "Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    41. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    42. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).

  4. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).

    Cited by:

    1. Muneer M. Alshater & Mayank Joshipura & Rim El Khoury & Nohade Nasrallah, 2023. "Initial Coin Offerings: a Hybrid Empirical Review," Small Business Economics, Springer, vol. 61(3), pages 891-908, October.
    2. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    3. Apostolakis, George N., 2024. "Bitcoin price volatility transmission between spot and futures markets," International Review of Financial Analysis, Elsevier, vol. 94(C).
    4. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
    5. Urquhart, Andrew, 2022. "Under the hood of the Ethereum blockchain," Finance Research Letters, Elsevier, vol. 47(PA).
    6. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    8. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    9. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
    10. Kirill D. Shilov & Andrei V. Zubarev, 2023. "Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 95-115, February.
    11. Brini, Alessio & Lenz, Jimmie, 2024. "Pricing cryptocurrency options with machine learning regression for handling market volatility," Economic Modelling, Elsevier, vol. 136(C).
    12. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2024. "The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges," International Review of Financial Analysis, Elsevier, vol. 91(C).
    13. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
    14. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).

  5. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
    See citations under working paper version above.
  6. Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
    See citations under working paper version above.
  7. Jaehyuk Choi & Sungchan Shin, 2016. "Fast Swaption Pricing In Gaussian Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 962-982, October.
    See citations under working paper version above.
  8. Jaehyuk Choi & Kwangmoon Kim & Minsuk Kwak, 2009. "Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 261-268.

    Cited by:

    1. Li, Minqiang, 2008. "An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility," MPRA Paper 6867, University Library of Munich, Germany.
    2. Yasaman Karami & Kenichiro Shiraya, 2018. "An approximation formula for normal implied volatility under general local stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1043-1061, September.
    3. Jaehyuk Choi & Sungchan Shin, 2018. "Fast swaption pricing in Gaussian term structure models," Papers 1803.08803, arXiv.org.
    4. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
    5. Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.
    6. Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
    7. Cyril Grunspan, 2011. "A Note on the Equivalence between the Normal and the Lognormal Implied Volatility : A Model Free Approach," Papers 1112.1782, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BIG: Big Data (2) 2018-10-22 2021-02-15
  2. NEP-CMP: Computational Economics (2) 2018-10-22 2021-02-15
  3. NEP-RMG: Risk Management (2) 2019-12-16 2021-04-26
  4. NEP-CWA: Central and Western Asia (1) 2021-04-26
  5. NEP-MAC: Macroeconomics (1) 2021-02-15
  6. NEP-MON: Monetary Economics (1) 2021-02-15
  7. NEP-ORE: Operations Research (1) 2019-12-16
  8. NEP-SEA: South East Asia (1) 2018-05-21

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