Jeonggyu Huh

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
Pontryagin-guided direct policy optimization for continuous-time portfolio problem Journal of Industrial and Management Optimization	2026-03-06	Paper
Dual-uncertainty modeling in financial time-series via VMD-LSTM with concrete dropout and VMD-WGAN Networks and Heterogeneous Media	2026-02-20	Paper
Reliable option pricing through deep learning: an anomaly score-based approach Networks and Heterogeneous Media	2025-12-16	Paper
Accelerating SDE simulation through learning of stochastic dynamics Journal of the Korean Society for Industrial and Applied Mathematics	2025-10-30	Paper
Tighter `uniform bounds for Black-Scholes implied volatility' and the applications to root-finding Operations Research Letters	2025-05-05	Paper
Deep learning of optimal exercise boundaries for American options International Journal of Computer Mathematics	2025-04-28	Paper
Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques Computers & Mathematics with Applications	2025-04-25	Paper
Variable annuity with a surrender option under multiscale stochastic volatility Japan Journal of Industrial and Applied Mathematics	2023-01-17	Paper
Pricing of vulnerable power exchange option under the hybrid model	2022-06-21	Paper
Measuring systematic risk with neural network factor model Physica A	2022-05-16	Paper
An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model Chaos, Solitons and Fractals	2022-04-26	Paper
Simplified approach to valuation of vulnerable exchange option under a reduced-form model	2021-11-15	Paper
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility Quantitative Finance	2019-03-06	Paper
A scaled version of the double-mean-reverting model for VIX derivatives Mathematics and Financial Economics	2018-09-05	Paper

Research outcomes over time

This page was built for person: Jeonggyu Huh