Youngsoo Choi

Hankuk University of Foreign Studies

89 Wangsan-ri, Mohyeon-myeon, Cheoin-gu

Yongin-shi, Kyonggi-do 449-791

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

6

DOWNLOADS

156

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.
Downloads 66 (339,765)
Citation 1

Abstract:

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Option Pricing, Volatility Smiles, Black and Scholes, Traders’ Rules, Rollover Effect, Information Stability

2.

Information Content in Sneer Asymmetry: An Application to OOS Implied Volatility Forecasting

Number of pages: 27 Posted: 25 Nov 2012
Youngsoo Choi, Steven J. Jordan and Wonchang Lee
Hankuk University of Foreign Studies, Econometric Solutions and Hi Investment & Securities Co, Ltd
Downloads 43 (413,021)

Abstract:

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Ad Hoc Black-Scholes (AHBS), asymmetric volatility sneer, data usage, implied volatility

3.

A Simple Model of the Nominal Term Structure of Interest Rates

Number of pages: 20 Posted: 27 Mar 2013
Youngsoo Choi and Tony S. Wirjanto
Hankuk University of Foreign Studies and University of Waterloo - School of Accounting and Finance
Downloads 31 (462,595)

Abstract:

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interest rates, drift, AR, volatility, NGARCH, zero-coupon bond price, yield to maturity

4.

재무변수와 주가를 결합한 상호저축은행의 부실예측모형 (Expected Probability of Default Model for Mutual Savings Banks Combining Financial Data and Stock Prices)

Financial Stability Studies, Vol. 8, No. 1, Korea Deposit Insurance Corporation(KDIC), 2007, pp. 62-96.
Number of pages: 35 Posted: 16 Aug 2017 Last Revised: 10 Jan 2019
Youngsoo Choi and Uk Chang
Hankuk University of Foreign Studies and Korea Deposit Insurance Corporation
Downloads 16 (545,486)

Abstract:

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상호저축은행도산, 부도확률, EDF, 로지스틱 회귀모형, 결합모형, Mutual Savings Banks Default, Probability of Default, EDF, Logistic Regression Model, Combination Model

5.

An Analytic Approximation Formula for Pricing Zero-Coupon Bonds

Finance Research Letters 4 (2007) 116-126, 1997
Posted: 31 Mar 2013
Youngsoo Choi and Tony S. Wirjanto
Hankuk University of Foreign Studies and University of Waterloo - School of Accounting and Finance

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One-factor model, Zero-coupon bond, Approximate price, True price

6.

Dividend-Rollover Effect and the Ad Hoc Black-Scholes Model

Journal of Futures Markets, Vol. 32, No. 8, pp. 742-772, 2012
Posted: 17 Sep 2012
Youngsoo Choi, Steven J. Jordan and Soonchan Ok
Hankuk University of Foreign Studies, Econometric Solutions and e*Learn

Abstract:

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Dividends, Black-Scholes, Ad hac, Implied, Volatility, IVOL, AHBS, Expectations, Forward, Hedging