U. Jin Choi

Korea Advanced Institute of Science and Technology (KAIST)

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

3

DOWNLOADS

237

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A Lattice Method for Lookback Options with Regime-Switching Volatility

Number of pages: 27 Posted: 15 Dec 2009 Last Revised: 15 Jan 2012
University College London - Department of Economics, Korea Advanced Institute of Science and Technology (KAIST), The University of Suwon - Department of Economics and Finance and Pohang University of Science and Technology (POSTECH)
Downloads 237 (138,867)
Citation 1

Abstract:

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lookback option, Markov chain, regime switch, lattice method, binomial tree, stochastic volatility

2.

Optimal Investment and Consumption Decision of Family with Life Insurance

Posted: 16 Jun 2009 Last Revised: 29 Oct 2010
Minsuk Kwak, Yong Hyun Shin and U. Jin Choi
Department of Mathematics, Hankuk University of Foreign Studies, Department of Mathematics, Sookmyung Women's University and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

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Life insurance, Optimal investment/consumption, Labor income, Utility maximization, Martingale method

3.

Optimal Investment, Consumption and Retirement Choice Problem with Disutility and Subsistence Consumption Constraints

Journal of Mathematical Analysis and Applications, Vol. 345, No. 1, pp. 109--122, September 2008
Posted: 13 Dec 2006 Last Revised: 19 May 2010
Byung Hwa Lim, Yong Hyun Shin and U. Jin Choi
The University of Suwon - Department of Economics and Finance, Department of Mathematics, Sookmyung Women's University and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

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Consumption, portfolio selection, retirement, disutility, utility maximization, subsistence consumption constraints, labor income