Submitted
Deep Distribution Learning for SDE-based Financial Models, Seung-Won Jeong*, Jeonggyu Huh*, submitted
Improved Accuracy of an Analytical Approximation for Option Pricing under Stochastic Volatility Models using Deep Learning Techniques, Donghyun Kim*, Jeonggyu Huh*, Ji-Hun Yoon, submitted
Deep Learning of Optimal Exercise Boundaries for American Options, Hyun-Gyoon Kim*, Jeonggyu Huh*, submitted
Tighter 'Uniform Bounds for Black-Scholes Implied Volatility and the Applications to Root-Finding, Jaehyuk Choi*, Su Nan, Jeonggyu Huh, submitted Link, revised in Operation Research Letter
Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models, Hyun-Gyoon Kim*, Hyungmi Kim, Jeonggyu Huh*, revised in Computational Economics
2023
Variable Annuity with a Surrender Option under Multi-Scale Stochastic Volatility, Jeonggyu Huh*, Junkee Jeon, Kyunghyun Park*, Japan Journal of Industrial and Applied Mathematics, 2023 Link
Analytical Pricing of Exchange Option with Default Risk under a Stochastic Volatility Model, Jaegi Jeon*, Jeonggyu Huh, Geonwoo Kim*, Advances in Continuous and Discrete Models, 2023 Link
Random Augmentation Technique for Mitigating Overfitting in Neural Networks for Financial Time Series Forecasting, Yeonglong Kwak*, Jeonggyu Huh*, Journal of The Korean Data Analysis Society, 2023 Link
2022
Extensive Networks Would Eliminate the Demand for Pricing Formulas, Jaegi Jeon*, Kyunghyun Park, Jeonggyu Huh*, Knowledge-Based Systems, 2022 Link
Pricing Path-Dependent Exotic Options with Flow-Based Generative Networks, Hyun-Gyoon Kim*, Se-Jin Kwon, Jeong-Hoon Kim, Jeonggyu Huh*, Applied Soft Computing, 2022 Link
Large Scale Online Learning of Implied Volatilities, Tae-Kyoung Kim*, Hyun-Gyoon Kim, Jeonggyu Huh*, Expert Systems with Applications, 2022 Link
Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities, Journal of Risk and Financial Management, Geon Lee*, Tae-Kyoung Kim, Hyun-Gyoon Kim, Jeonggyu Huh*, 2022 Link
2021
Consistent and Efficient Pricing of SPX Options and VIX Options under Multi-Scale Stochastic Volatilities, Jaegi Jeon*, Geonwoo Kim, Jeonggyu Huh*, Journal of Futures Market, 2021 Link
Asymptotic Expansion Approach to the Valuation of Vulnerable Option under a Multiscale Stochastic Volatility Model, Jaegi Jeon*, Geonwoo Kim, Jeonggyu Huh*, Chaos, Solitons & Fractals, 2021 Link
Pricing of Vulnerable Power Exchange Option under the Hybrid Model, Jaegi Jeon*, Jeonggyu Huh, Geonwoo Kim*, East Asian Mathematical Journal, 2021
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model, Jeonggyu Huh*, Jaegi Jeon, Geonwoo Kim*, East Asian Mathematical Journal, 2021
2020
Measuring Systematic Risk with Neural Network Factor Model, Jeonggyu Huh*, Physica A : Statistical Mechanics and its Applications, 2020 Link
Static Hedges of Barrier Options under Fast Mean-Reverting Stochastic Volatility, Jeonggyu Huh*, Jaegi Jeon, Yong-Ki Ma*, Computational Economics, 2020 Link
An Analytic Approximation for the Valuation of American Option in Two Regimes, Junkee Jeon*, Jeonggyu Huh, Kyunghyun Park*, Computational Economics, 2020 Link
2019
Pricing Options with Exponential Levy Neural Network, Jeonggyu Huh*, Expert Systems with Applications, 2019 Link
A Reduced PDE Method for European Option Pricing under Multi-Scale, Multi-Factor stochastic volatility, Jeonggyu Huh*, Jaegi Jeon, Jeong-Hoon Kim*, Hyejin Park, Quantitative Finance, 2019 Link
Barrier Option Pricing with Heavy-Tailed Distribution, Geonwoo Kim*, Jeonggyu Huh*, Economic Computation and Economic Cybernetics Studies and Research, 2019
2018
A Scaled Version of the Double-Mean-Reverting Model for VIX Derivatives, Jeonggyu Huh*, Jaegi Jeon, Jeong-Hoon Kim*, Mathematics and Financial Economics, 2018 Link