File Download

There are no files associated with this item.

  • Find it @ UNIST can give you direct access to the published full text of this article. (UNISTARs only)
Related Researcher


Seo, Byoung Ki
Trading Engineering Lab.
Read More

Views & Downloads

Detailed Information

Cited time in webofscience Cited time in scopus
Metadata Downloads

Full metadata record

DC Field Value Language
dc.citation.endPage 204 -
dc.citation.number 2 -
dc.citation.startPage 186 -
dc.citation.title JOURNAL OF FUTURES MARKETS -
dc.citation.volume 39 - Choi, Jaehyuk - Liu, Chenru - Seo, Byoung Ki - 2023-12-21T19:38:22Z - 2023-12-21T19:38:22Z - 2019-01-28 - 2019-02 -
dc.description.abstract For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model. Using two generalized Bougerol's identities in the literature, the study shows that our model has a closed-form Monte Carlo simulation scheme and that the transition probability for one special case follows Johnson's SU distribution-a popular heavy-tailed distribution originally proposed without stochastic process. It is argued that the SU distribution serves as an analytically superior alternative to the normal SABR model because the two distributions are empirically similar. -
dc.identifier.bibliographicCitation JOURNAL OF FUTURES MARKETS, v.39, no.2, pp.186 - 204 -
dc.identifier.doi 10.1002/fut.21967 -
dc.identifier.issn 0270-7314 -
dc.identifier.scopusid 2-s2.0-85055748263 -
dc.identifier.uri -
dc.identifier.url -
dc.identifier.wosid 000455132300004 -
dc.language 영어 -
dc.publisher WILEY -
dc.title Hyperbolic normal stochastic volatility model -
dc.type Article -
dc.description.isOpenAccess FALSE -
dc.relation.journalWebOfScienceCategory Business, Finance -
dc.relation.journalResearchArea Business & Economics -
dc.description.journalRegisteredClass ssci -
dc.description.journalRegisteredClass scopus -
dc.subject.keywordAuthor Bougerol&apos -
dc.subject.keywordAuthor s identity -
dc.subject.keywordAuthor Johnson&apos -
dc.subject.keywordAuthor s S-U distribution -
dc.subject.keywordAuthor SABR model -
dc.subject.keywordAuthor stochastic volatility -
dc.subject.keywordPlus BROWNIAN-MOTION -
dc.subject.keywordPlus STOCK RETURNS -
dc.subject.keywordPlus DISTRIBUTIONS -
dc.subject.keywordPlus OPTIONS -
dc.subject.keywordPlus SIMULATION -
dc.subject.keywordPlus SKEWNESS -


Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.