Jaehyuk Choi

Peking University - HSBC School of Business

University Town

Shenzhen, Guangdong 518055

China

http://www.jaehyukchoi.net/phbs_en

  • Peking University - HSBC School of Business

SCHOLARLY PAPERS

9

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SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (9)

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1.

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak
Peking University - HSBC School of Business, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,294 (15,567)
Citation 2

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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation

2.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

Journal of Futures Markets, 40(1):23-43, 2020
Number of pages: 35 Posted: 09 Apr 2019 Last Revised: 08 Dec 2019
Carol Alexander, Jaehyuk Choi, Heungju Park and Sungbin Sohn
University of Sussex Business School, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 741 (34,918)
Citation 5

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bitcoin, BitMEX, market efficiency, price discovery, spillover

3.

Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options

Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25 Posted: 08 Feb 2017 Last Revised: 02 Jun 2018
Jaehyuk Choi
Peking University - HSBC School of Business
Downloads 471 (62,953)
Citation 1

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Multi-Asset Black-Scholes-Merton, Spread Option, Basket Option, Asian Option, Curse of Dimensionality

4.

Fast Swaption Pricing in Gaussian Term Structure Model

Mathematical Finance, 26(4): 962-982, 2016
Number of pages: 17 Posted: 05 Mar 2013 Last Revised: 23 Sep 2018
Jaehyuk Choi and SungChan Shin
Peking University - HSBC School of Business and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 195 (163,133)

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Gaussian term structure model, volatility surface calibration, fast swaption pricing, swaption analytics

5.

Price Discovery and Microstructure in Ether Spot and Derivative Markets

Number of pages: 23 Posted: 16 Jan 2020
Carol Alexander, Jaehyuk Choi, Hamish Massie and Sungbin Sohn
University of Sussex Business School, Peking University - HSBC School of Business, University of Sussex Business School and Peking University - HSBC Business School
Downloads 98 (281,460)

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BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps

6.

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 95 (287,177)
Citation 1

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

7.

Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

Number of pages: 23 Posted: 28 Oct 2018 Last Revised: 28 May 2019
Jeechul Woo, Chenru Liu and Jaehyuk Choi
University of Illinois Urbana-Champaign, Peking University - HSBC Business School and Peking University - HSBC School of Business
Downloads 46 (420,758)
Citation 1

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American option, Least square Monte Carlo, Longstaff--Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation

8.

The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model

Number of pages: 26 Posted: 19 Dec 2019
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 26 (510,528)

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Stochastic Volatility, SABR Model, CEV Model

9.

Inverse Gaussian Quadrature and Finite Normal-Mixture Approximation of Generalized Hyperbolic Distribution

Number of pages: 8 Posted: 25 Oct 2018
Jaehyuk Choi, Yeda Du and Qingshuo Song
Peking University - HSBC School of Business, Peking University HSBC Business School and City University of Hong Kong (CityUHK)
Downloads 24 (522,006)

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Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature