Seo, Jun-Ho; Kim, Jeong-Hoon Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach. (English) Zbl 07431728 Math. Comput. Simul. 192, 303-320 (2022). MSC: 91-XX 74-XX PDFBibTeX XMLCite \textit{J.-H. Seo} and \textit{J.-H. Kim}, Math. Comput. Simul. 192, 303--320 (2022; Zbl 07431728) Full Text: DOI
Ha, Mijin; Li, Qi; Kim, Donghyun; Yoon, Ji-Hun The pricing of vulnerable power options with double Mellin transforms. (English) Zbl 1513.91086 J. Appl. Math. Inform. 39, No. 5-6, 677-688 (2021). MSC: 91G20 44A10 91G80 91G60 PDFBibTeX XMLCite \textit{M. Ha} et al., J. Appl. Math. Inform. 39, No. 5--6, 677--688 (2021; Zbl 1513.91086) Full Text: DOI
Kim, Donghyun; Choi, Sun-Yong; Yoon, Ji-Hun Pricing of vulnerable options under hybrid stochastic and local volatility. (English) Zbl 1498.91448 Chaos Solitons Fractals 146, Article ID 110846, 12 p. (2021). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{D. Kim} et al., Chaos Solitons Fractals 146, Article ID 110846, 12 p. (2021; Zbl 1498.91448) Full Text: DOI
Jeon, Junkee; Oh, Jehan \((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions. (English) Zbl 1433.35162 Commun. Pure Appl. Anal. 19, No. 2, 699-714 (2020). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 35K20 91G20 35Q91 35K65 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Commun. Pure Appl. Anal. 19, No. 2, 699--714 (2020; Zbl 1433.35162) Full Text: DOI
Robinson, P. John; Jeeva, S. Application of integrodifferential equations using Sumudu transform in intuitionistic trapezoidal fuzzy MAGDM problems. (English) Zbl 1436.91048 Kumar, B. Rushi (ed.) et al., Applied mathematics and scientific computing. International conference on advances in mathematical sciences, ICAMS, Vellore, India, December 1–3, 2017. Volume II. Selected papers. Cham: Birkhäuser. Trends Math., 13-20 (2019). MSC: 91B06 45J05 PDFBibTeX XMLCite \textit{P. J. Robinson} and \textit{S. Jeeva}, in: Applied mathematics and scientific computing. International conference on advances in mathematical sciences, ICAMS, Vellore, India, December 1--3, 2017. Volume II. Selected papers. Cham: Birkhäuser. 13--20 (2019; Zbl 1436.91048) Full Text: DOI
Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee Pricing of fixed-strike lookback options on assets with default risk. (English) Zbl 1435.91184 Math. Probl. Eng. 2019, Article ID 8412698, 10 p. (2019). MSC: 91G20 PDFBibTeX XMLCite \textit{S.-Y. Choi} et al., Math. Probl. Eng. 2019, Article ID 8412698, 10 p. (2019; Zbl 1435.91184) Full Text: DOI
Südland, N.; Volkmann, J.; Kumar, D. Applications to give an analytical solution to the Black Scholes equation. (English) Zbl 1412.35336 Integral Transforms Spec. Funct. 30, No. 3, 205-230 (2019). MSC: 35Q91 44A15 35R11 35A24 35Q84 91G20 PDFBibTeX XMLCite \textit{N. Südland} et al., Integral Transforms Spec. Funct. 30, No. 3, 205--230 (2019; Zbl 1412.35336) Full Text: DOI
Kim, So-Yeun; Yoon, Ji-Hun An approximated European option price under stochastic elasticity of variance using Mellin transforms. (English) Zbl 1440.91037 East Asian Math. J. 34, No. 3, 239-248 (2018). MSC: 91G20 44A15 PDFBibTeX XMLCite \textit{S.-Y. Kim} and \textit{J.-H. Yoon}, East Asian Math. J. 34, No. 3, 239--248 (2018; Zbl 1440.91037) Full Text: DOI
Jeon, Junkee; Yoon, Ji-Hun Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images. (English) Zbl 1395.91450 Commun. Korean Math. Soc. 33, No. 1, 345-360 (2018). MSC: 91G20 91G30 91G70 60H30 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J.-H. Yoon}, Commun. Korean Math. Soc. 33, No. 1, 345--360 (2018; Zbl 1395.91450) Full Text: DOI
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. (English) Zbl 1354.91151 J. Math. Anal. Appl. 449, No. 1, 207-227 (2017). MSC: 91G20 44A15 PDFBibTeX XMLCite \textit{J. Jeon} et al., J. Math. Anal. Appl. 449, No. 1, 207--227 (2017; Zbl 1354.91151) Full Text: DOI
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo Pricing vulnerable path-dependent options using integral transforms. (English) Zbl 1410.91453 J. Comput. Appl. Math. 313, 259-272 (2017). MSC: 91G20 44A15 PDFBibTeX XMLCite \textit{J. Jeon} et al., J. Comput. Appl. Math. 313, 259--272 (2017; Zbl 1410.91453) Full Text: DOI
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo Valuing vulnerable geometric Asian options. (English) Zbl 1443.91295 Comput. Math. Appl. 71, No. 2, 676-691 (2016). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. Jeon} et al., Comput. Math. Appl. 71, No. 2, 676--691 (2016; Zbl 1443.91295) Full Text: DOI
Yoon, Ji-Hun; Kim, Jeong-Hoon The pricing of vulnerable options with double Mellin transforms. (English) Zbl 1299.91156 J. Math. Anal. Appl. 422, No. 2, 838-857 (2015). MSC: 91G20 91G40 44A15 91G30 PDFBibTeX XMLCite \textit{J.-H. Yoon} and \textit{J.-H. Kim}, J. Math. Anal. Appl. 422, No. 2, 838--857 (2015; Zbl 1299.91156) Full Text: DOI
Elbeleze, Asma Ali; Kılıçman, Adem; Taib, Bachok M. Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform. (English) Zbl 1299.91179 Math. Probl. Eng. 2013, Article ID 524852, 7 p. (2013). MSC: 91G80 35Q91 91G20 35R11 35C10 PDFBibTeX XMLCite \textit{A. A. Elbeleze} et al., Math. Probl. Eng. 2013, Article ID 524852, 7 p. (2013; Zbl 1299.91179) Full Text: DOI