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

5

DOWNLOADS

130

CITATIONS

0

Scholarly Papers (5)

1.
Downloads 54 (286,879)

Abstract:

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 38 (339,481)

Abstract:

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 Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Downloads 28 (382,641)

Abstract:

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

4.

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 Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,

Abstract:

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

5.

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:

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