Gyu-Sik Han

Most-cited papers

1. Prediction of pricing and hedging errors for equity linked warrants with Gaussian process models

   Gyu-Sik Han, Jaewook Lee

   2008Expert systems with applications40 citations

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2. Efficient Option Pricing via a Globally Regularized Neural Network

   Hyungsuk Choi, Hyoseok Lee, Gyu-Sik Han, Jaewook Lee

   2004International Symposium on Neural Networks14 citations

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3. Kernel-based Monte Carlo simulation for American option pricing

   Gyu-Sik Han, Bo-Hyun Kim, Jaewook Lee

   2009Expert systems with applications10 citations

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4. Barrier Option Pricing with Model Averaging Methods under Local Volatility Models

   Namhyoung Kim, Kyu-Hwan Jung, Jaewook Lee, Gyu-Sik Han

   20119 citations Open access

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5. Model Averaging Methods for Estimating Implied and Local Volatility Surfaces

   Namhyoung Kim, Jaewook Lee, Gyu-Sik Han

   20095 citations

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6. Study on Dynamic Interrelationship between the COFIX Interest Rate and the Housing Mortgage Loan Interest Rate

   Wooseok Kim, Gyu-Sik Han

   20173 citations

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7. Implied Volatility Function Approximation with Korean ELWs (Equity-Linked Warrants) via Gaussian Processes

   Gyu-Sik Han

   20143 citations Open access

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8. Valuation of American Option Prices Under the Double Exponential Jump Diffusion Model with a Markov Chain Approximation

   Gyu-Sik Han

   20122 citations Open access

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9. Modeling Implied Volatility Surfaces Using Two-dimensional Cubic Spline with Estimated Grid Points

   Seung-Ho Yang, Jaewook Lee, Gyu-Sik Han

   20102 citations Open access

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10. The Dynamic Relationship between Household Loans of Depository Institutions and Housing Prices after the Financial Crisis

    Gyu-Sik Han

    2020The Institute of Management and Economy Research1 citations

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11. A Study on Investment Efficiency between Direct Investment Projects and Build-Transfer Lease (BTL) Projects by Government Agencies

    Taejun Lim, Dongwei Chen, Gyu-Sik Han

    2018korean management review1 citations

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12. Simulations for American Option Pricing Under a Jump-Diffusion Model: Comparison Study between Kernel-Based and Regression-based Methods

    Hyun-Joo Lee, Seung-Ho Yang, Gyu-Sik Han, Jaewook Lee

    2008International Symposium on Neural Networks1 citations

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13. Estimating the Yield Curve Using Calibrated Radial Basis Function Networks

    Gyu-Sik Han, Daewon Lee, Jaewook Lee

    2005International Symposium on Neural Networks1 citations

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14. The Impact of the Decline of the Main Industry (Shipbuilding Industry) on Local Jobs: Focus on Gunsan-si, Jeonbuk State

    Woo-Seok Kim, Gyu-Sik Han

    2025Regional Industry Review0 citations

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15. Global Capitalization Rate Dynamics and COVID-19

    Jung-Wook Moon, Gyu-Sik Han

    2025korean management review0 citations

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16. Time series properties of corporate credit rating transitions by regions and rating agencies

    Gyu-Sik Han, Young Kyu Kim

    2024Applied Economics Letters0 citations Open access

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17. Time Series Properties of Credit Ratings Migrations in Korea

    Young-Kyu Kim, Gyu-Sik Han

    2022Korean Management Science Review0 citations

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18. The Impact of the COVID-19 on the USD/KRW Exchange Rate

    Woosub Kim, Gyu-Sik Han

    20210 citations

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19. Option Valuation Using Markov Chain Approximation Under the Generalized Black-Scholes Model

    Gyu-Sik Han

    2020Journal of the Korean Operations Research and Management Science Society0 citations

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20. Application of Kernel Smoothing Methods with Cross-Validation Criterion Bandwidth Choice to Two-Stage Portfolio Selection

    Gyu-Sik Han

    2020Korean Management Science Review0 citations

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21. Dual-Stage Empirical Portfolio Optimization via Shortfall Probability based on Kernel Density Estimation

    Gyu-Sik Han, Taejun Lim

    2018Journal of the Korean Operations Research and Management Science Society0 citations

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22. Global Search of Genetic Algorithm Enhanced by Multi-basin Dynamic Neighbor Sampling

    Misuk Kim, Gyu-Sik Han

    20140 citations

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23. Comparative Research on Parameter Estimation via Particle Filtering

    H. Jang, Youngdoo Son, Jaewook Lee, Gyu-Sik Han

    20140 citations

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24. Valuation of European and American Option Prices Under the Levy Processes with a Markov Chain Approximation

    Gyu-Sik Han

    20130 citations Open access

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25. A Study on Cost Risk Estimation applying Joint Cost-Schedule Probability Distribution Model

    Dongkyu Kim, Sung-Jin Kang, Gyu-Sik Han

    20110 citations Open access

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26. Calibrated Parameters with Consistency for Option Pricing in the Two-state Regime Switching Black-Scholes Model

    Gyu-Sik Han

    20100 citations

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