Jaehyuk Choi : Citation Profile

Are you Jaehyuk Choi?

Peking University

4

H index

2

i10 index

64

Citations

RESEARCH PRODUCTION:

8

Articles

9

Papers

RESEARCH ACTIVITY:

   13 years (2009 - 2022). See details.
   Cites by year: 4
   Journals where Jaehyuk Choi has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 6 (8.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch2015
   Updated: 2024-01-16    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:

Ishida, Ryo (3)

Alexander, Carol (3)

Olkhov, Victor (2)

Frijns, Bart (1)

Goutte, Stéphane (1)

HU, YANG (1)

Uddin, Gazi (1)

Papavassiliou, Vassilios (1)

Oxley, Les (1)

Li, Minqiang (1)

Brooks, Robert (1)

Cites to:

lucey, brian (4)

Dimpfl, Thomas (3)

Poitras, Geoffrey (3)

Shrestha, Keshab (3)

Corbet, Shaen (3)

Putnins, Talis (3)

Roubaud, David (3)

Gonzalo, Jesus (2)

White, Alan (2)

merton, robert (2)

Fernandez Bariviera, Aurelio (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 (2024 and 2023)

YearTitle of citing document
2023Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2023Fundamentals of Perpetual Futures. (2022). von Wachter, Victor ; Ross, Omri ; Manela, Asaf ; He, Songrun. In: Papers. RePEc:arx:papers:2212.06888.

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2023Option pricing under the normal SABR model with Gaussian quadratures. (2023). Ki, Byoung ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02797.

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2023Simulation schemes for the Heston model with Poisson conditioning. (2023). Kwok, Yue Kuen ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02800.

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2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

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2023Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493.

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2023Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544.

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2023Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications. (2023). Zubarev, Andrei V ; Shilov, Kirill D. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230106:p:95-115.

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2023Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities. (2023). Guterding, Daniel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:83-:d:1135421.

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2023.

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2023Initial Coin Offerings: a Hybrid Empirical Review. (2023). Joshipura, Mayank ; Alshater, Muneer M ; Nasrallah, Nohade ; el Khoury, Rim. In: Small Business Economics. RePEc:kap:sbusec:v:61:y:2023:i:3:d:10.1007_s11187-022-00726-2.

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2023Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies. (2023). Gao, Xiang ; Huang, Weige. In: SAGE Open. RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440231151652.

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2023Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption. (2023). Ke, Hua ; Yang, Xiangfeng. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:22:y:2023:i:3:d:10.1007_s10700-022-09399-8.

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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]		paper6
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: 6		article
2018Hyperbolic normal stochastic volatility model In: Papers.
[Full Text][Citation analysis]		paper3
2019Hyperbolic normal stochastic volatility model.(2019) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution In: Papers.
[Full Text][Citation analysis]		paper0
2020Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American 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]		paper2
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: 2		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]		paper2
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: 2		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]		paper1
2020Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article11
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]		article32

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