Jang Bong-Gyu

Bong-Gyu Jang

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Found 4 papers in total
Unemployment Risks and Optimal Retirement in an Incomplete Market
Unemployment Risks and Optimal Retirement in an Incomplete Market
2016
We develop a new approach for solving the optimal retirement problem for an individual...
Net Contribution, Liquidity, and Optimal Pension Management
Net Contribution, Liquidity, and Optimal Pension Management
2016
This article presents an optimal portfolio balancing strategy for a pension fund...
An analytic valuation method for multivariate contingent claims with regime‐switching volatilities
An analytic valuation method for multivariate contingent claims with regime‐switching volatilities
2011
In this paper, we provide an analytic valuation method for European‐type...
A reflected diffusion process in a regime-switching environment
A reflected diffusion process in a regime-switching environment
2008
This paper provides steady-state analysis of a reflected diffusion process governed by...
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