Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution. - Jaehyuk Choi 003; Yeda Du; Qingshuo Song (J. Comput. Appl. Math., 2021)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding. - Jaehyuk Choi 003; Jeonggyu Huh; Nan Su (Oper. Res. Lett., 2024)

Simulation schemes for the Heston model with Poisson conditioning. - Jaehyuk Choi 003; Yue Kuen Kwok (Eur. J. Oper. Res., 2024)

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions. - Jaehyuk Choi 003 (Oper. Res. Lett., 2025)