From the 1 of 3 linked papers with an AI index.
3 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…
q-fin.MF2025
A G-BSDE approach to the long-term decomposition of robust pricing kernels
Jaehyun Kim, Hyungbin Park
This study proposes a BSDE approach to the long-term decomposition of pricing kernels under the G-expectation framework. We establish the existence, uniqueness, and regularity of s…
q-fin.MF2025
Designing funding rates for perpetual futures in cryptocurrency markets
Jaehyun Kim, Hyungbin Park
In cryptocurrency markets, a key challenge for perpetual future issuers is maintaining alignment between the perpetual future price and target value. This study addresses this chal…