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Author ID: jeon.junkee Recent zbMATH articles by "Jeon, Junkee"
Published as: Jeon, Junkee
Documents Indexed: 37 Publications since 2001
Co-Authors: 16 Co-Authors with 34 Joint Publications
132 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

20 Publications have been cited 81 times in 46 Documents Cited by Year
Steady state analysis of finite fluid flow models using finite QBDs. Zbl 1080.90023
Ahn, Soohan; Jeon, J.; Ramaswami, V.
14
2005
Pricing vulnerable path-dependent options using integral transforms. Zbl 1410.91453
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo
14
2017
Portfolio selection with consumption ratcheting. Zbl 1401.91520
Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun
10
2018
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. Zbl 1417.91274
Jeon, Junkee; Kwak, Minsuk
5
2018
A simple and fast method for valuing American knock-out options with rebates. Zbl 1376.91163
Park, Kyunghyun; Jeon, Junkee
5
2017
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. Zbl 1354.35162
Jeon, Junkee; Han, Heejae; Kang, Myungjoo
5
2017
Valuing vulnerable geometric Asian options. Zbl 1443.91295
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo
4
2016
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. Zbl 1354.91151
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae
4
2017
Finite-horizon optimal consumption and investment problem with a preference change. Zbl 1420.91431
Park, Kyunghyun; Jeon, Junkee
3
2019
The pricing of dynamic fund protection with default risk. Zbl 1377.91159
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae
3
2018
An integral equation representation approach for valuing Russian options with a finite time horizon. Zbl 1470.91280
Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo
2
2016
Pricing of fixed-strike lookback options on assets with default risk. Zbl 1435.91184
Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee
2
2019
A closed-form solution for lookback options using Mellin transform approach. Zbl 1354.91150
Jeon, Junkee; Yoon, Ji-Hun
2
2016
Ratcheting with a bliss level of consumption. Zbl 1432.91105
Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun
2
2019
Finite horizon portfolio selection with a negative wealth constraint. Zbl 1410.91420
Jeon, Junkee; Shin, Yong Hyun
1
2019
Analytic solution for American strangle options using Laplace-Carson transforms. Zbl 07257496
Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin
1
2017
Portfolio selection with drawdown constraint on consumption: a generalization model. Zbl 1468.91136
Jeon, Junkee; Park, Kyunghyun
1
2021
Pricing variable annuity with surrender guarantee. Zbl 1471.91463
Jeon, Junkee; Kwak, Minsuk
1
2021
Pricing external-chained barrier options with exponential barriers. Zbl 1349.91272
Jeon, Junkee; Yoon, Ji-Hun
1
2016
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun
1
2020
Portfolio selection with drawdown constraint on consumption: a generalization model. Zbl 1468.91136
Jeon, Junkee; Park, Kyunghyun
1
2021
Pricing variable annuity with surrender guarantee. Zbl 1471.91463
Jeon, Junkee; Kwak, Minsuk
1
2021
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun
1
2020
Finite-horizon optimal consumption and investment problem with a preference change. Zbl 1420.91431
Park, Kyunghyun; Jeon, Junkee
3
2019
Pricing of fixed-strike lookback options on assets with default risk. Zbl 1435.91184
Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee
2
2019
Ratcheting with a bliss level of consumption. Zbl 1432.91105
Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun
2
2019
Finite horizon portfolio selection with a negative wealth constraint. Zbl 1410.91420
Jeon, Junkee; Shin, Yong Hyun
1
2019
Portfolio selection with consumption ratcheting. Zbl 1401.91520
Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun
10
2018
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. Zbl 1417.91274
Jeon, Junkee; Kwak, Minsuk
5
2018
The pricing of dynamic fund protection with default risk. Zbl 1377.91159
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae
3
2018
Pricing vulnerable path-dependent options using integral transforms. Zbl 1410.91453
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo
14
2017
A simple and fast method for valuing American knock-out options with rebates. Zbl 1376.91163
Park, Kyunghyun; Jeon, Junkee
5
2017
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. Zbl 1354.35162
Jeon, Junkee; Han, Heejae; Kang, Myungjoo
5
2017
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. Zbl 1354.91151
Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae
4
2017
Analytic solution for American strangle options using Laplace-Carson transforms. Zbl 07257496
Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin
1
2017
Valuing vulnerable geometric Asian options. Zbl 1443.91295
Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo
4
2016
An integral equation representation approach for valuing Russian options with a finite time horizon. Zbl 1470.91280
Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo
2
2016
A closed-form solution for lookback options using Mellin transform approach. Zbl 1354.91150
Jeon, Junkee; Yoon, Ji-Hun
2
2016
Pricing external-chained barrier options with exponential barriers. Zbl 1349.91272
Jeon, Junkee; Yoon, Ji-Hun
1
2016
Steady state analysis of finite fluid flow models using finite QBDs. Zbl 1080.90023
Ahn, Soohan; Jeon, J.; Ramaswami, V.
14
2005

Citations by Year