| Pricing options with exponential Lévy neural network J Huh Expert Systems with Applications 127, 128-140, 2019 | 21 | 2019 |
| Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility J Jeon, G Kim, J Huh The Journal of Futures Market, 2021 | 9 | 2021 |
| Measuring systematic risk with neural network factor model J Huh Physica A: Statistical Mechanics and its Applications 542, 123387, 2020 | 7 | 2020 |
| A scaled version of the double-mean-reverting model for VIX derivatives J Huh, J Jeon, JH Kim Mathematics and Financial Economics 12, 495-515, 2018 | 7 | 2018 |
| An analytic approximation for valuation of the American option under the Heston model in two regimes J Jeon, J Huh, K Park Computational Economics, 1-30, 2020 | 3 | 2020 |
| Large-scale online learning of implied volatilities TK Kim, HG Kim, J Huh Expert Systems with Applications 203, 117365, 2022 | 2 | 2022 |
| Pricing path-dependent exotic options with flow-based generative networks HG Kim, SJ Kwon, JH Kim, J Huh Applied Soft Computing 124, 109049, 2022 | 2 | 2022 |
| Extensive networks would eliminate the demand for pricing formulas J Jeon, K Park, J Huh Knowledge-Based Systems 237, 107918, 2022 | 2 | 2022 |
| An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model J Jeon, G Kim, J Huh Chaos, Solitons & Fractals 144, 110641, 2021 | 2 | 2021 |
| A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility J Huh, J Jeon, JH Kim, H Park Quantitative Finance 19 (1), 155-175, 2019 | 2 | 2019 |
| An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model J Jeon, J Huh, G Kim Advances in Continuous and Discrete Models 2023 (1), 37, 2023 | 1 | 2023 |
| Tighter'Uniform Bounds for Black-Scholes Implied Volatility'and the applications to root-finding J Choi, J Huh, N Su arXiv preprint arXiv:2302.08758, 2023 | 1 | 2023 |
| Barrier Option Pricing with Heavy Tailed Distribution J Huh, G Kim Economic Computation and Economic Cybernetics Studies and Research 53 (4), 41-58, 2019 | 1 | 2019 |
| Variable annuity with a surrender option under multiscale stochastic volatility J Huh, J Jeon, K Park Japan Journal of Industrial and Applied Mathematics 40 (1), 1-39, 2023 | | 2023 |
| Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities G Lee, TK Kim, HG Kim, J Huh Journal of Risk and Financial Management 15 (12), 616, 2022 | | 2022 |
| Pricing of Vulnerable Power Exchange Option under the Hybrid Model 전재기， 허정규， 김건우 East Asian Mathematical Journal 37 (5), 567-576, 2021 | | 2021 |
| Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model J Huh, J Jeon, G Kim East Asian mathematical journal 37 (1), 79-85, 2021 | | 2021 |
| Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility J Huh, J Jeon, YK Ma Computational Economics 55, 185-210, 2020 | | 2020 |
Kyunghyun ParkNanyang Technological University, School of Physical & Mathematical SciencesGeverifieerd e-mailadres voor ntu.edu.sg
