Publications
The Finite-Horizon Reversible Investment Problem with the Constant Elasticity of Variance Model
Junkee Jeon and Takwon Kim
Optimal consumption and portfolio rules with dynamic adjustment of consumption bounds
Junkee Jeon, Kexin Chen, and Hyeng Keun Koo
Finite-Horizon Consumption and Investment Problem with Loss Aversion to Consumption Changes
Junkee Jeon and Jehan Oh
Working Longer, Not Harder: Target Wealth, Leisure, and Retirement
Junkee Jeon, Jongbong An, Takwon Kim
Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach
Jongbong An, Junkee Jeon, and Takwon Kim
Valuation of American Maximum Exchange Rate Quanto Lookback Options
Junkee Jeon and Geonwoo Kim
Optimal Investment under Irreversible Consumption and Locally Risk-Seeking Preferences
Seungwon Jung, Junkee Jeon, and Hyeng Keun Koo
A problem of finite-horizon optimal switching and stochastic control for utility maximisation
Zhou Yang and Junkee Jeon
Consumption, Investment, Life Insurance, and Early Retirement Decisions under Habit-Dependent Living Standards
Se Yung Bae, Junkee Jeon, and Hyeng Keun Koo
Optimal Portfolio and Retirement Decisions with Costly Job Switching Options
Jongbong An, Junkee Jeon, and Takwon Kim
Optimal Consumption and Investment with a Costly Reversible Job-Switching Option
Gyoocheol Shim and Junkee Jeon
Optimal Portfolio and Labor-Leisure Decisions with intolerance for declining standard of living
Jongbong An, Junkee Jeon, and Takwon Kim
Note on Intertemporal Preference with Loss Aversion
Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo
Optimal Consumption and Investment with Welfare Constraints
Junkee Jeon and Minsuk Kwak
Human Capital and Portfolio Choice: Borrowing Constraint and Reversible Retirement
Junkee Jeon, Hyeng Keun Koo, and Minsuk Kwak
Dynamic Asset Allocation and Consumption Ratcheting with Costs
Junkee Jeon and Jehan Oh
A two-person zero-sum game approach for a retirement decision with borrowing constraints
Junkee Jeon, Hyeng Keun Koo, and Minsuk Kwak
Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility
Jeonggyu Huh, Junkee Jeon, and Kyunghyun Park
Horizon Effect on Optimal Retirement Decision
Junkee Jeon, Minsuk Kwak, and Kyunghyun Park
Optimal Job Switching and Retirement Decision
Junkee Jeon and Kyunghyun Park
A Model of Retirement and Consumption-Portfolio Choice
Junkee Jeon and Hyeng Keun Koo
Labor Supply Flexibility and Portfolio Selection with Early Retirement Option
Junkee Jeon and Jehan Oh
Finite Horizon Portfolio Selection Problem with a Drawdown Constraint on Consumption
Junkee Jeon and Jehan Oh
Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude
Kyoung Jin Choi, Junkee Jeon, and Hyeng Keun Koo
Pricing European continuous-installment currency options with mean-reversion
Junkee Jeon and Geonwoo Kim
Optimal Long-term Contracts with Disability Insurance under Limited Commitment
Kyoung Jin Choi, Junkee Jeon, Hoseok Lee, and Hsuan-Chih (Luke) Lin
Optimal Finite Horizon Contract with Limited Commitment
Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park
Optimal Retirement Problem under Partial Information
Kexin Chen, Junkee Jeon, and Hoi Ying Wong
Candidate Point Selection using a Self-Attention Mechanism for Generating a Smooth Volatility Surface under the SABR model
Hyeonuk Kim, Junkee Jeon, Kyunghyun Park, Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang
Finite horizon portfolio selection problems with stochastic borrowing constraints
Junkee Jeon
Finite Time-Horizon Optimal Investment and Consumption with Time-Varying Subsistence Consumption Constraints
Junkee Jeon, Myungjoo Kang, and Yong Hyun Shin
Pricing Variable Annuity with Surrender Guarantee
Junkee Jeon and Minsuk Kwak
Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee
Junkee Jeon and Kyunghyun Park
Finite Horizon Portfolio Selection with Durable Goods
Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park
Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model
Junkee Jeon and Kyunghyun Park
An integral equation representation for optimal retirement strategies in portfolio selection problem
Junkee Jeon, Hyeng Keun Koo, Yong Hyun Shin, and Zhou Yang
Analytic valuation of European continuous-installment barrier options
Junkee Jeon, Sun-yong Choi, and Ji-Hun Yoon
(1+2)-dimensional Black-Scholes equation with mixed boundary condition
Junkee Jeon and Jehan Oh
Efficient valuation of a variable annuity contract with a surrender option
Junkee Jeon and Geonwoo Kim
Optimal Retirement and Portfolio Selection with Consumption Ratcheting
Junkee Jeon and Kyunghyun Park
Social Insurance for the Elderly
Se Yung Bae, Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park
Dynamic asset allocation with consumption ratcheting post retirement
Junkee Jeon and Kyunghyun Park
An analytic approximation for the valuation of American option under a Heston-model in two regimes
Junkee Jeon, Jeonggyu Huh, and Kyunghyun Park
Pricing of vulnerable options with early counterparty credit risk
Junkee Jeon and Geonwoo Kim
Valuation of American strangle option: Variational Inequality Approach
Junkee Jeon and Jehan Oh
Finite horizon optimal consumption and investment problem with a preference change
Kyunghyun Park and Junkee Jeon
Finite horizon portfolio selection with a negative wealth constraint
Junkee Jeon and Yong Hyun Shin
An integral equation approach for optimal investments policies with partially reversibility
Junkee Jeon and Geonwoo Kim
Ratcheting with a Bliss Level of Consumption
Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin
Pricing European continuous-installment strangle options
Junkee Jeon and Geonwoo Kim
Pricing dynamic fund protection with default risk
Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park
Closed-form solutions for valuing partial lookback options with random initiation
Geonwoo Kim and Junkee Jeon
Portfolio selection with consumption ratcheting
Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
Junkee Jeon and Minsuk Kwak
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
Junkee Jeon, Heejae Han, and Myungjoo Kang
Pricing vulnerable path-dependent options using integral transforms
Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park
Analytic solution for American Strangle options using Laplace-Carson transforms
Myungjoo Kang, Junkee Jeon, Heejae Han and Somin Lee
A simple and fast method for valuing American knock-out options with rebates
Kyunghyun Park and Junkee Jeon
An integral equation representation approach for Russian options with finite time horizon
Junkee Jeon, Heejae Han, Hyun-uk Kim, and Myungjoo Kang
Valuing vulnerable geometric Asian options
Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang
Closed form valuation of American chained knock-in options
Heejae Han, Junkee Jeon, and Myungjoo Kang
Pricing chained dynamic fund protection
Heejae Han, Junkee Jeon, and Myungjoo Kang
Pricing external-chained barrier options with exponential barriers
Junkee Jeon and Ji-Hun Yoon