Chihoon Lee

Stevens Institute of Technology

Associate Professor

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

8

DOWNLOADS

424

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

The Expected Hitting Time Approach to Optimal Price Adjustment Problems

Stevens Institute of Technology School of Business Research Paper
Number of pages: 37 Posted: 02 May 2017
University of Kansas, Stevens Institute of Technology - School of Business, University of Kansas and Stevens Institute of Technology
Downloads 144 (203,471)

Abstract:

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Stochastic Control, Impulse Control, Expected Hitting Time, Price Setting, Energy Subsidies

2.

Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes

Number of pages: 20 Posted: 20 Jan 2016 Last Revised: 09 Oct 2017
Zhenyu Cui, Chihoon Lee and Yanchu Liu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 102 (263,376)
Citation 5

Abstract:

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Finance, Asian option, Markov process, Continuous-Time Markov Chain, Laplace transform

3.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Kai Wang
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 69 (334,137)

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systemic risk, network model, central clearing counterparty, financial innovation

4.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Zhenyu Cui, Chihoon Lee, Lingjiong Zhu and Yunfan Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 26 (491,275)

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simulation optimization, complexity, unbiased estimato, stochastic model applications

5.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Zhenyu Cui, Chihoon Lee, Yanchu Liu and Lingjiong Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 26 (491,275)
Citation 2

Abstract:

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Transform analysis, Asset pricing, Occupation time, Markov Process, Finance

6.

Operational Perils and Benefits of Free Trials in Large Scale Service Systems

Number of pages: 44 Posted: 15 Oct 2018
Levent Kocaga and Chihoon Lee
Sy Syms School of Business, Yeshiva University and Stevens Institute of Technology
Downloads 24 (502,453)

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Pricing, Capacity Sizing, Service Systems, Free Trial Promotions, Operations-Marketing Interface, Many-Server Queues, Halfin-Whitt (QED) Regime

7.

Optimal Control of a Time-Varying Double-Ended Production Queueing Model

Number of pages: 39 Posted: 06 May 2019
Chihoon Lee, Xin Liu, Yunan Liu and Ling Zhang
Stevens Institute of Technology, Clemson University, North Carolina State University - Department of Industrial Engineering and North Carolina State University - Department of Industrial Engineering
Downloads 22 (514,034)

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8.

A Multivariate Distance Nonlinear Causality Test Based on Partial Distance Correlation: A Machine Learning Application to Energy Futures

Quantitative Finance, 2019, 19 (9): 1531-1542.
Number of pages: 27 Posted: 23 Sep 2019
Germán G. Creamer and Chihoon Lee
Stevens Institute of Technology, School of Business and Stevens Institute of Technology
Downloads 11 (580,126)

Abstract:

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financial forecasting, lead-lag relationship, nonlinear correlation, energy finance, support vector machine, Brownian partial distance correlation, random forests