Jaehyuk Choi

Peking University - HSBC School of Business

University Town

Nanshan District

Shenzhen, Guang Dong 518055

China

http://jaehyukchoi.net/phbs_en

SCHOLARLY PAPERS

13

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4,152

SSRN CITATIONS
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SSRN RANKINGS

Top 37,350

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (13)

1.

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak
Peking University - HSBC School of Business, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,478 (15,479)
Citation 2

Abstract:

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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation

2.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

Journal of Futures Markets, 40(1):23-43, 2020
Number of pages: 35 Posted: 09 Apr 2019 Last Revised: 08 Dec 2019
University of Sussex Business School, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 1,085 (24,677)
Citation 10

Abstract:

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bitcoin, BitMEX, market efficiency, price discovery, spillover

3.

Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options

Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25 Posted: 08 Feb 2017 Last Revised: 02 Jun 2018
Jaehyuk Choi
Peking University - HSBC School of Business
Downloads 497 (70,234)
Citation 2

Abstract:

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Multi-Asset Black-Scholes-Merton, Spread Option, Basket Option, Asian Option, Curse of Dimensionality

4.

Price Discovery and Microstructure in Ether Spot and Derivative Markets

International Review of Financial Analysis, 71, 101506, 2020
Number of pages: 26 Posted: 16 Jan 2020 Last Revised: 04 Jun 2020
University of Sussex Business School, Peking University - HSBC School of Business, University of Sussex Business School and Peking University - HSBC Business School
Downloads 300 (125,202)

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BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps

5.

A Black-Scholes User's Guide to the Bachelier Model

Number of pages: 27 Posted: 19 Apr 2021
Peking University - HSBC School of Business, Department of Mathematics, Hankuk University of Foreign Studies, Singapore Management University - Lee Kong Chian School of Business and Bank of Communications Co. Ltd.
Downloads 208 (180,741)

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Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model

6.

Fast Swaption Pricing in Gaussian Term Structure Model

Mathematical Finance, 26(4): 962-982, 2016
Number of pages: 17 Posted: 05 Mar 2013 Last Revised: 23 Sep 2018
Jaehyuk Choi and SungChan Shin
Peking University - HSBC School of Business and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 202 (184,937)

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Gaussian term structure model, volatility surface calibration, fast swaption pricing, swaption analytics

7.

Hyperbolic Normal Stochastic Volatility Model

Journal of Futures Markets, 39(2):186-204, 2019
Number of pages: 26 Posted: 23 Jan 2018 Last Revised: 25 Jun 2019
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
Peking University - HSBC School of Business, Peking University - HSBC Business School and Ulsan National Institute of Science and Technology
Downloads 116 (291,072)
Citation 4

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Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution

8.

Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

Number of pages: 31 Posted: 28 Oct 2018 Last Revised: 10 Sep 2020
Jeechul Woo, Chenru Liu and Jaehyuk Choi
University of Illinois Urbana-Champaign, Peking University - HSBC Business School and Peking University - HSBC School of Business
Downloads 72 (392,664)
Citation 1

Abstract:

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American option, Least square Monte Carlo, Longstaff-Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation

9.

The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model

Journal of Economic Dynamics and Control, Vol. 128, 104143, 2021
Number of pages: 33 Posted: 19 Dec 2019 Last Revised: 08 Jun 2021
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 53 (457,276)
Citation 2

Abstract:

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Stochastic Volatility, SABR Model, CEV Model

10.

The Financial Value of the Within-Government Political Network: Evidence From Chinese Municipal Corporate Bonds

Number of pages: 13 Posted: 27 Jan 2021 Last Revised: 24 Feb 2021
Jaehyuk Choi, Lei Lu, Heungju Park and Sungbin Sohn
Peking University - HSBC School of Business, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 48 (477,021)

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Political Network, Guanxi, Local Government Financing Vehicles, Municipal Corporate Bonds, Credit Risk

11.

Predicting Recession Probabilities Using Term Spreads: New Evidence from a Machine Learning Approach

Number of pages: 19 Posted: 27 Jan 2021
Jaehyuk Choi, Desheng Ge, Kyu H. Kang and Sungbin Sohn
Peking University - HSBC School of Business, Peking University - HSBC School of Business, Korea University and Peking University - HSBC Business School
Downloads 44 (494,239)

Abstract:

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Yield curve, estimation risk, density forecasting

12.

Inverse Gaussian Quadrature and Finite Normal-Mixture Approximation of the Generalized Hyperbolic Distribution

Journal of Computational and Applied Mathematics, 388:113302, 2021
Number of pages: 19 Posted: 25 Oct 2018 Last Revised: 15 Dec 2020
Jaehyuk Choi, Yeda Du and Qingshuo Song
Peking University - HSBC School of Business, Peking University HSBC Business School and City University of Hong Kong (CityUHK)
Downloads 27 (581,765)

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Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature

13.

A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'

Quantitative Finance, 21(7):1083-1086, 2021
Number of pages: 6 Posted: 29 Dec 2020 Last Revised: 08 Jun 2021
Jaehyuk Choi and Lixin Wu
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 22 (614,709)

Abstract:

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Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature