Kum-Hwan Roh

Korea Advanced Institute of Science and Technology (KAIST), Department of Mathematical Science

Ph.D

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities

Opertations Research Letters, Vol. 39, Issue 3, 2011
Posted: 25 Mar 2009 Last Revised: 22 Aug 2011
Bong-Gyu Jang, Kum-Hwan Roh and Ji Hee Yoon
Pohang University of Science and Technology (POSTECH), Korea Advanced Institute of Science and Technology (KAIST), Department of Mathematical Science and University College London - Department of Economics

Abstract:

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Multivariate Contingent Claim, Drivative Pricing, Regime Switch, Business Cycle, Stochastic Volaltility

2.

Valuing Qualitative Options With Stochastic Volatility

Quantitative Finance, Vol 9, Issue 7, 2009
Posted: 27 Nov 2007 Last Revised: 22 Oct 2010
Bong-Gyu Jang and Kum-Hwan Roh
Pohang University of Science and Technology (POSTECH) and Korea Advanced Institute of Science and Technology (KAIST), Department of Mathematical Science

Abstract:

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qualitative option, stochastic volatility, regime-switching volatility, option valuation, Markov chain