/publications

pdf files for each paper

RESEARCH PUBLICATIONS

  1. Choi, Y., Jeong, D., Kim, J., Kim, Y. R., Lee, S., Seo, S., & Yoo, M. Robust and accurate method for the Black-Scholes equations with payoff-consistent extrapolation, Communications of the Korean Mathematical Society, Vol. 30, No. 3, pp.297–311, 2015. PDF
  2. Choi, Y., Jeong, D., Lee, S., Yoo, M., & Kim, J. Motion by mean curvature of curves on surfaces using the Allen–Cahn equation, International Journal of Engineering Science, Vol. 97, pp. 126–132, 2015. PDF
  3. Yoo, M., Jeong, D., Seo, S., & Kim, J. A comparison study of explicit and implicit numerical methods for the equity-linked securities, The Honam Mathematical Journal, Vol 37, pp. 441–455, 2015. PDF
  4. Kim, J., Kim, T., Jo, J., Choi, Y., Lee, S., Hwang, H., Yoo, M., & Jeong, D. A practical finite difference method for the three-dimensional Black-Scholes equation, European Journal of Operational Research, 2015. PDF
  5. Jeong, D., Yoo, M., & Kim, J. Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations, Discrete Dynamics in Nature and Society, 2016. PDF
  6. Kim, J., Yoo, M., Son, H., Lee, S., Kim, M., Choi, Y., Jeong, D., & Kim, Y. Path Averaged Option Value Criteria for Selecting Better Options, Journal of the Korean Society for Industrial and Applied Mathematics, Vol.20, No.2, pp.163–174, 2016. PDF
  7. Jeong, D., Yoo, M., & Kim, J. Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions, Computational Economics, 1-12, 2017. PDF
  8. Jeong, D., Li, Y., Choi, Y., Yoo, M., Kang, D., Park, J., ... & Kim, J. Numerical simulation of the zebra pattern formation on a three-dimensional model, Physica A: Statistical Mechanics and its Applications, 475, 106-116, 2017. PDF
  9. Jeong, D., Yoo, M., Yoo, C., & Kim, J. A Hybrid Monte Carlo and Finite Difference Method for Option Pricing, Computational Economics, 1-14, 2017. PDF

BOOK

  1. 정다래, 김영록, 황형석, 유민현, 김준석, 파생상품 프로그래밍, 경문사, 2015. Google books