Hyun-Gyoon Kim
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Person:2128260
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 |
|---|---|---|
| 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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