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 |
| Pricing of vulnerable power exchange option under the hybrid model | 2022-06-21 | 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: Jaegi Jeon
