Byoung Ki Seo

Ulsan National Institute of Science and Technology

Associate Professor

50 UNIST-gil

Ulju-gun

Ulsan, 44919

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Hyperbolic Normal Stochastic Volatility Model

Journal of Futures Markets, 39(2):186-204, 2019
Number of pages: 26 Posted: 23 Jan 2018 Last Revised: 25 Jun 2019
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
Peking University - HSBC School of Business, Peking University - HSBC Business School and Ulsan National Institute of Science and Technology
Downloads 117 (292,332)
Citation 4

Abstract:

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Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution