Edit Profile (opens in new tab) Jeon, Junkee Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 1 single-authored 9 Yoon, Ji-Hun 8 Park, Kyunghyun 6 Kang, Myungjoo 5 Koo, Hyeng Keun 4 Shin, Yong Hyun 3 Han, Heejae 3 Kwak, Minsuk 3 Oh, Jehan 2 Choi, Kyoung Jin 2 Choi, Sun-Yong 2 Kim, Geonwoo 2 Park, Chang-Rae 1 Ahn, Soohan 1 Kim, Hyeonuk 1 Kobbacy, Khairy A. H. 1 Lee, Hoseok 1 Lee, Somin 1 Lin, Hsuan-Chih 1 Ramaswami, Vaidyanathan all top 5 Serials 6 Journal of Computational and Applied Mathematics 3 Journal of Mathematical Analysis and Applications 2 Chaos, Solitons and Fractals 2 Insurance Mathematics & Economics 2 Bulletin of the Korean Mathematical Society 2 Japan Journal of Industrial and Applied Mathematics 2 Communications in Nonlinear Science and Numerical Simulation 2 Mathematics and Financial Economics 1 Computers & Mathematics with Applications 1 Applied Mathematics and Computation 1 Journal of Economic Theory 1 Journal of the Operational Research Society 1 Mathematical Social Sciences 1 Journal of Economic Dynamics & Control 1 Queueing Systems 1 Mathematical Problems in Engineering 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Communications of the Korean Mathematical Society 1 Discrete and Continuous Dynamical Systems. Series B 1 Communications on Pure and Applied Analysis 1 Journal of Industrial and Management Optimization 1 Optimization Letters 1 East Asian Mathematical Journal all top 5 Fields 35 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Probability theory and stochastic processes (60-XX) 11 Partial differential equations (35-XX) 6 Integral transforms, operational calculus (44-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Operations research, mathematical programming (90-XX) 1 Integral equations (45-XX) 1 Numerical analysis (65-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications 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 1080.90023Ahn, Soohan; Jeon, J.; Ramaswami, V. 14 2005 Pricing vulnerable path-dependent options using integral transforms. Zbl 1410.91453Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo 14 2017 Portfolio selection with consumption ratcheting. Zbl 1401.91520Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun 10 2018 Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. Zbl 1417.91274Jeon, Junkee; Kwak, Minsuk 5 2018 A simple and fast method for valuing American knock-out options with rebates. Zbl 1376.91163Park, Kyunghyun; Jeon, Junkee 5 2017 Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. Zbl 1354.35162Jeon, Junkee; Han, Heejae; Kang, Myungjoo 5 2017 Valuing vulnerable geometric Asian options. Zbl 1443.91295Jeon, 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 1354.91151Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae 4 2017 Finite-horizon optimal consumption and investment problem with a preference change. Zbl 1420.91431Park, Kyunghyun; Jeon, Junkee 3 2019 The pricing of dynamic fund protection with default risk. Zbl 1377.91159Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae 3 2018 An integral equation representation approach for valuing Russian options with a finite time horizon. Zbl 1470.91280Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo 2 2016 Pricing of fixed-strike lookback options on assets with default risk. Zbl 1435.91184Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee 2 2019 A closed-form solution for lookback options using Mellin transform approach. Zbl 1354.91150Jeon, Junkee; Yoon, Ji-Hun 2 2016 Ratcheting with a bliss level of consumption. Zbl 1432.91105Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun 2 2019 Finite horizon portfolio selection with a negative wealth constraint. Zbl 1410.91420Jeon, Junkee; Shin, Yong Hyun 1 2019 Analytic solution for American strangle options using Laplace-Carson transforms. Zbl 07257496Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin 1 2017 Portfolio selection with drawdown constraint on consumption: a generalization model. Zbl 1468.91136Jeon, Junkee; Park, Kyunghyun 1 2021 Pricing variable annuity with surrender guarantee. Zbl 1471.91463Jeon, Junkee; Kwak, Minsuk 1 2021 Pricing external-chained barrier options with exponential barriers. Zbl 1349.91272Jeon, Junkee; Yoon, Ji-Hun 1 2016 Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261Jeon, Junkee; Park, Kyunghyun 1 2020 Portfolio selection with drawdown constraint on consumption: a generalization model. Zbl 1468.91136Jeon, Junkee; Park, Kyunghyun 1 2021 Pricing variable annuity with surrender guarantee. Zbl 1471.91463Jeon, Junkee; Kwak, Minsuk 1 2021 Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261Jeon, Junkee; Park, Kyunghyun 1 2020 Finite-horizon optimal consumption and investment problem with a preference change. Zbl 1420.91431Park, Kyunghyun; Jeon, Junkee 3 2019 Pricing of fixed-strike lookback options on assets with default risk. Zbl 1435.91184Choi, Sun-Yong; Yoon, Ji-Hun; Jeon, Junkee 2 2019 Ratcheting with a bliss level of consumption. Zbl 1432.91105Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun 2 2019 Finite horizon portfolio selection with a negative wealth constraint. Zbl 1410.91420Jeon, Junkee; Shin, Yong Hyun 1 2019 Portfolio selection with consumption ratcheting. Zbl 1401.91520Jeon, Junkee; Koo, Hyeng Keun; Shin, Yong Hyun 10 2018 Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. Zbl 1417.91274Jeon, Junkee; Kwak, Minsuk 5 2018 The pricing of dynamic fund protection with default risk. Zbl 1377.91159Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae 3 2018 Pricing vulnerable path-dependent options using integral transforms. Zbl 1410.91453Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo 14 2017 A simple and fast method for valuing American knock-out options with rebates. Zbl 1376.91163Park, Kyunghyun; Jeon, Junkee 5 2017 Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation. Zbl 1354.35162Jeon, Junkee; Han, Heejae; Kang, Myungjoo 5 2017 An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model. Zbl 1354.91151Jeon, Junkee; Yoon, Ji-Hun; Park, Chang-Rae 4 2017 Analytic solution for American strangle options using Laplace-Carson transforms. Zbl 07257496Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin 1 2017 Valuing vulnerable geometric Asian options. Zbl 1443.91295Jeon, Junkee; Yoon, Ji-Hun; Kang, Myungjoo 4 2016 An integral equation representation approach for valuing Russian options with a finite time horizon. Zbl 1470.91280Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo 2 2016 A closed-form solution for lookback options using Mellin transform approach. Zbl 1354.91150Jeon, Junkee; Yoon, Ji-Hun 2 2016 Pricing external-chained barrier options with exponential barriers. Zbl 1349.91272Jeon, Junkee; Yoon, Ji-Hun 1 2016 Steady state analysis of finite fluid flow models using finite QBDs. Zbl 1080.90023Ahn, Soohan; Jeon, J.; Ramaswami, V. 14 2005 all cited Publications top 5 cited Publications all top 5 Cited by 53 Authors 20 Jeon, Junkee 10 Yoon, Ji-Hun 6 Park, Kyunghyun 4 Koo, Hyeng Keun 4 Zaevski, Tsvetelin Stefanov 3 Choi, Sun-Yong 3 Kang, Myungjoo 3 Kim, Geonwoo 3 Park, Chang-Rae 3 Shin, Yong Hyun 2 Kwak, Minsuk 2 Ma, Chaoqun 2 Ma, Zonggang 2 Wang, Xingchun 1 Aman, Mohd 1 Angoshtari, Bahman 1 Bayraktar, Erhan 1 Choe, Geon Ho 1 Choi, Kyoung Jin 1 Deng, Guohe 1 Dong, Yinghui 1 Gao, Xin 1 Goel, Anubha 1 Ha, Mijin 1 He, Jianmin 1 Huh, Jeonggyu 1 Jeon, Jaegi 1 Jieqiong, Zhao 1 Khan, Nabiullah U. 1 Kounchev, Ognyan Ivanov 1 Lassance, Nathan 1 Lee, Hyoseob 1 Li, Shouwei 1 Li, Zhe 1 Liu, Yongjun 1 Macías-Díaz, Jorge Eduardo 1 Oh, Jehan 1 Pasricha, Puneet 1 Savov, Mladen Svetoslavov 1 Sumei, Zhang 1 Usman, Talha 1 Vargas-Rodríguez, Héctor 1 Woo, Min Hyeok 1 Wu, Sang 1 Wu, Zhijian 1 Xiao, Shisong 1 Xu, Chao 1 Yang, Xiangfeng 1 Yang, Zhuo 1 Young, Virginia R. 1 Zhang, Shuhua 1 Zhang, Weiguo 1 Zhang, Zhiqiang all top 5 Cited in 26 Serials 9 Chaos, Solitons and Fractals 8 Journal of Computational and Applied Mathematics 2 Journal of Mathematical Analysis and Applications 2 Japan Journal of Industrial and Applied Mathematics 2 Mathematical Problems in Engineering 2 Communications in Nonlinear Science and Numerical Simulation 2 Mathematics and Financial Economics 1 Computers & Mathematics with Applications 1 Physica A 1 Applied Mathematics and Computation 1 Journal of Economic Theory 1 Mathematical Social Sciences 1 European Journal of Operational Research 1 Stochastic Processes and their Applications 1 Journal of Mathematical Chemistry 1 Mathematical Methods of Operations Research 1 Journal of Inequalities and Applications 1 Discrete Dynamics in Nature and Society 1 Communications of the Korean Mathematical Society 1 Quantitative Finance 1 Journal of Systems Science and Complexity 1 Review of Derivatives Research 1 Optimization Letters 1 Discrete and Continuous Dynamical Systems. Series S 1 East Asian Mathematical Journal 1 SIAM Journal on Financial Mathematics all top 5 Cited in 10 Fields 43 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Probability theory and stochastic processes (60-XX) 8 Partial differential equations (35-XX) 6 Integral transforms, operational calculus (44-XX) 4 Systems theory; control (93-XX) 2 Numerical analysis (65-XX) 1 Special functions (33-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year