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Kyoung-Kuk Kim
Information about the author Kyoung-Kuk Kim will soon be added to the site.
Found
4 papers
in total
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Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
2016
The problem of finding static‐arbitrage bounds on basket option prices has...
Efficient VaR and CVaR Measurement via Stochastic Kriging
2016
In this paper, stochastic kriging (SK) is considered as a metamodeling tool to capture...
Evaluation and optimization of feed-in tariffs
2012
Feed‐in tariff program is an incentive plan that provides investors with a set...
Denoising Monte Carlo sensitivity estimates
2012
Monte Carlo methods are in widespread use both in academia and industry. We are, in...
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