Hyun-Gyoon Kim
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Deep learning of optimal exercise boundaries for American options International Journal of Computer Mathematics | 2025-04-28 | Paper |
| A Mellin transform approach to pricing barrier options under stochastic elasticity of variance Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
| A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model Computational and Applied Mathematics | 2023-10-02 | Paper |
| A stochastic-local volatility model with Lévy jumps for pricing derivatives Applied Mathematics and Computation | 2023-06-26 | Paper |
| Forecasting the elasticity of variance with LSTM recurrent neural networks International Journal of Computer Mathematics | 2023-06-20 | Paper |
| ELS pricing and hedging in a fractional Brownian motion environment Chaos, Solitons and Fractals | 2022-04-21 | Paper |
| Fractional stochastic volatility correction to CEV implied volatility Quantitative Finance | 2021-12-01 | Paper |
Research outcomes over time
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