Calibrating parametric exponential Lévy models to option market data by incorporating statistical moments priors. - Seung-Ho Yang; Younhee Lee; Gabjin Oh; Jaewook Lee 001 (Expert Syst. Appl., 2011)

A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models. - YongHoon Kwon; Younhee Lee (SIAM J. Numer. Anal., 2011)

A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models. - YongHoon Kwon; Younhee Lee (SIAM J. Sci. Comput., 2011)

Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models. - Jaewook Lee 001; Younhee Lee (J. Comput. Appl. Math., 2013)

Financial options pricing with regime-switching jump-diffusions. - Younhee Lee (Comput. Math. Appl., 2014)

Real option pricing under the regime-switching model with jumps on a finite time horizon. - Sunju Lee; Younhee Lee (J. Comput. Appl. Math., 2024)