Jeonggyu Huh

Work

Sungkyunkwan University
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Assistant Professor

Korea (Republic of)

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Chonnam National University
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Assistant Professor

Korea (Republic of)

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Education

Yonsei University
Korea (Republic of)

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Doctor

Publications

An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model

Published by

Advances in Continuous and Discrete Models

Summary

journal-article

Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the applications to root-finding

Published by

arXiv

Summary

other

Variable annuity with a surrender option under multiscale stochastic volatility

Published by

Japan Journal of Industrial and Applied Mathematics

Summary

journal-article

Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities

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Journal of Risk and Financial Management

Summary

journal-article

Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities

Published by

Journal of Risk and Financial Management

Summary

journal-article

Extensive networks would eliminate the demand for pricing formulas

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Knowledge-Based Systems

Summary

journal-article

Large-scale online learning of implied volatilities

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Expert Systems with Applications

Summary

journal-article

Pricing path-dependent exotic options with flow-based generative networks

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Applied Soft Computing

Summary

journal-article

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model

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Chaos, Solitons and Fractals

Summary

journal-article

Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility

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Journal of Futures Markets

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journal-article

An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes

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Computational Economics

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journal-article

Measuring systematic risk with neural network factor model

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Physica A: Statistical Mechanics and its Applications

Summary

journal-article

Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility

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Computational Economics

Summary

journal-article

A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

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Quantitative Finance

Summary

journal-article

Barrier option pricing with heavy tailed distribution

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Economic Computation and Economic Cybernetics Studies and Research

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journal-article

Pricing options with exponential Lévy neural network

Published by

Expert Systems with Applications

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A scaled version of the double-mean-reverting model for VIX derivatives

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Mathematics and Financial Economics

Summary

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