From the 1 of 2 linked papers with an AI index.
2 papers
q-fin.MF2026
Hedging short-maturity Asian options in local volatility models
Jiuk Jang, Jaehyun Kim, Hyungbin Park +1
The paper derives short‑maturity asymptotic formulas for Asian option prices and deltas in local volatility models using a Gaussian approximation and Malliavin calculus, and valida…
math.PR2025
A discretization scheme for path-dependent FBSDEs and PDEs
Jiuk Jang, Hyungbin Park
This study develops a numerical scheme for path-dependent FBSDEs and PDEs. We introduce a Picard iteration method for solving path-dependent FBSDEs, prove its convergence to the tr…