Jaehyuk Choi : Citation Profile

Peking University

5

H index

2

i10 index

99

Citations

RESEARCH PRODUCTION:

8

Articles

9

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 6
   Journals where Jaehyuk Choi has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 6 (5.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch2015
   Updated: 2025-12-13    RAS profile: 2021-09-04    
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Relations with other researchers

Works with:

Alexander, Carol (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jaehyuk Choi.

Is cited by:

Alexander, Carol (8)

Corbet, Shaen (3)

Goutte, Stéphane (3)

Ishida, Ryo (3)

Olkhov, Victor (2)

Cepni, Oguzhan (2)

Uddin, Gazi (2)

Sanhaji, Bilel (2)

Shahzad, Syed Jawad Hussain (1)

Brooks, Robert (1)

Cagli, Efe (1)

Cites to:

lucey, brian (4)

Dimpfl, Thomas (4)

Corbet, Shaen (3)

Poitras, Geoffrey (3)

Shrestha, Keshab (3)

Roubaud, David (3)

Putnins, Talis (3)

Mertens, Thomas (2)

Gonzalo, Jesus (2)

Wan, Xiangwei (2)

Scholes, Myron (2)

Main data

Where Jaehyuk Choi has published?

Journals with more than one article published# docs
Journal of Futures Markets3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org9

Recent works citing Jaehyuk Choi (2025 and 2024)

YearTitle of citing document
2024Fundamentals of Perpetual Futures. (2024). von Wachter, Victor ; He, Songrun ; Ross, Omri ; Manela, Asaf. In: Papers. RePEc:arx:papers:2212.06888.

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2024Exploring the Impact: How Decentralized Exchange Designs Shape Traders Behavior on Perpetual Future Contracts. (2024). Nie, Zixin ; Ma, Mengzhong ; Chen, Erdong. In: Papers. RePEc:arx:papers:2402.03953.

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2024Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Lo\`eve expansions. (2024). Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2402.09243.

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2025Efficient simulation of the SABR model. (2024). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2408.01898.

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2025Agent-Based Simulation of a Perpetual Futures Market. (2025). Rao, Ramshreyas. In: Papers. RePEc:arx:papers:2501.09404.

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2025Designing funding rates for perpetual futures in cryptocurrency markets. (2025). Kim, Jae Hyun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2506.08573.

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2025Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model. (2025). Omotade, Blessing ; Rachev, Svetlozar T ; Lindquist, Brent W ; Nyarko, Nancy Asare ; Divelgama, Bhathiya. In: Papers. RePEc:arx:papers:2509.18099.

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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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2025Pricing options on the maximum or the minimum of several assets with default risk. (2025). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001979.

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2024Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

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2024The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard J. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300529x.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024Put–call parity in a crypto option market — Evidence from Binance. (2024). Felfoldi-Szcs, Nora ; Varadi, Kata ; Kralik, Balazs. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461.

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2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

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2024Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model. (2024). Chang, Emma En-Tze ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10468-2.

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2025Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market?. (2025). Mohamad, Azhar. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-025-10998-x.

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2024Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. (2024). Shahzad, Syed Jawad Hussain ; Krištoufek, Ladislav ; Bouri, Elie ; Ahmad, Tanveer. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04568-9.

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2024Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior. (2024). Nie, Zixin ; Ma, Mengzhong ; Chen, Erdong. In: Electronic Markets. RePEc:spr:elmark:v:34:y:2024:i:1:d:10.1007_s12525-024-00715-1.

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2025The impact of futures trade on the informational efficiency of the U.S. REIT market. (2025). Sohn, Sungbin ; Jeong, Minhyuk ; Jang, Hanwool ; Ahn, Kwangwon. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00715-2.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2025The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery. (2025). Jahanshahloo, Hossein ; Scharnowski, Stefan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:2:p:91-117.

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2025Price Discovery and Efficiency in Uniswap Liquidity Pools. (2025). Fu, QI ; Deng, Jun ; Chen, XI ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:1023-1048.

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Works by Jaehyuk Choi:

YearTitleTypeCited
2018Fast swaption pricing in Gaussian term structure models In: Papers.
[Full Text][Citation analysis]		paper1
2016FAST SWAPTION PRICING IN GAUSSIAN TERM STRUCTURE MODELS.(2016) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2018Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options In: Papers.
[Full Text][Citation analysis]		paper8
2018Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options.(2018) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2018Hyperbolic normal stochastic volatility model In: Papers.
[Full Text][Citation analysis]		paper6
2019Hyperbolic normal stochastic volatility model.(2019) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2020Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution In: Papers.
[Full Text][Citation analysis]		paper0
2024Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options In: Papers.
[Full Text][Citation analysis]		paper1
2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model In: Papers.
[Full Text][Citation analysis]		paper3
2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model.(2021) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2021A note on the option price and Mass at zero in the uncorrelated SABR model and implied volatility asymptotics In: Papers.
[Full Text][Citation analysis]		paper3
2021A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’.(2021) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach In: Papers.
[Full Text][Citation analysis]		paper0
2022A Black-Scholes users guide to the Bachelier model In: Papers.
[Full Text][Citation analysis]		paper2
2020Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article17
2009Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article5
2020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness In: Journal of Futures Markets.
[Full Text][Citation analysis]		article53

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