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Choe, Geon Ho
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1

Closed‐form lower bounds for the price of arithmetic averag..:

Choe, Geon Ho ; Kim, Minseok
Journal of Futures Markets.  41 (2021)  12 - p. 1916-1932 , 2021
Link: https://doi.org/10.1002/..
 
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2

Pricing of American lookback spread options:

Woo, Min Hyeok ; Choe, Geon Ho
Stochastic Processes and their Applications.  130 (2020)  10 - p. 6300-6318 , 2020
Link: https://doi.org/10.1016/..
 
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3

Assessment of time-varying systemic risk in credit default ..:

Choe, Geon Ho ; Choi, So Eun ; Jang, Hyun Jin
The North American Journal of Economics and Finance.  54 (2020)  - p. 100907 , 2020
Link: https://doi.org/10.1016/..
 
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4

Pricing contingent convertible bonds: An analytical approac..:

Choe, Geon Ho ; Jang, Hyun Jin ; Na, Young Hoon
Statistics & Probability Letters.  148 (2019)  - p. 43-53 , 2019
Link: https://doi.org/10.1016/..
 
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5

A copula-based systemic risk measure: application to invest..:

Choi, So Eun ; Jang, Hyun Jin ; Choe, Geon Ho
Applied Economics Letters.  27 (2019)  15 - p. 1264-1271 , 2019
Link: https://doi.org/10.1080/..
 
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6

Limit properties of continuous self-exciting processes:

Kim, Gunhee ; Choe, Geon Ho
Statistics & Probability Letters.  155 (2019)  - p. 108558 , 2019
Link: https://doi.org/10.1016/..
 
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7

Distribution of Discrete Time Delta-Hedging Error via a Rec..:

Park, Minseok ; Lee, Kyungsub ; Choe, Geon Ho
East Asian Journal on Applied Mathematics.  6 (2016)  3 - p. 314-336 , 2016
Link: https://doi.org/10.4208/..
 
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8

A new variance reduction method for option pricing based on..:

Park, Jong Jun ; Choe, Geon Ho
Quantitative Finance.  16 (2016)  8 - p. 1165-1173 , 2016
Link: https://doi.org/10.1080/..
 
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9

Numerical computation of hitting time distributions of incr..:

Choe, Geon Ho ; Lee, Dong Min
Statistics & Probability Letters.  119 (2016)  - p. 289-294 , 2016
Link: https://doi.org/10.1016/..
 
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10

Probability of multiple crossings and pricing of double bar..:

Choe, Geon Ho ; Koo, Ki Hwan
The North American Journal of Economics and Finance.  29 (2014)  - p. 156-184 , 2014
Link: https://doi.org/10.1016/..
 
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11

A factor contagion model for portfolio credit derivatives:

Choe, Geon Ho ; Jang, Hyun Jin ; Kwon, Soon Won
Quantitative Finance.  15 (2014)  9 - p. 1571-1582 , 2014
Link: https://doi.org/10.1080/..
 
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12

High Moment Variations and Their Application:

Choe, Geon Ho ; Lee, Kyungsub
Journal of Futures Markets.  34 (2013)  11 - p. 1040-1061 , 2013
Link: https://doi.org/10.1002/..
 
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13

Conditional correlation in asset return and GARCH intensity..:

Choe, Geon Ho ; Lee, Kyungsub
AStA Advances in Statistical Analysis.  98 (2013)  3 - p. 197-224 , 2013
Link: https://doi.org/10.1007/..
 
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14

Efficient algorithms for basket default swap pricing with m..:

Choe, Geon Ho ; Jang, Hyun Jin
Insurance: Mathematics and Economics.  48 (2011)  2 - p. 205-213 , 2011
Link: https://doi.org/10.1016/..
 
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15

Thekth default time distribution and basket default swap pr..:

Choe, Geon Ho ; Jang, Hyun Jin
Quantitative Finance.  11 (2010)  12 - p. 1793-1801 , 2010
Link: https://doi.org/10.1080/..
 
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