2 papers
q-fin.CP2021
Extensive networks would eliminate the demand for pricing formulas
Jaegi Jeon, Kyunghyun Park, Jeonggyu Huh
In this study, we generate a large number of implied volatilities for the Stochastic Alpha Beta Rho (SABR) model using a graphics processing unit (GPU) based simulation and enable…
q-fin.MF2019
Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility
Jaegi Jeon, Geonwoo Kim, Jeonggyu Huh
This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) opt…