2 papers
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…
math.SG2018
The contact geometry of the spatial circular restricted 3-body problem
Wanki Cho, Hyojin Jung, Geonwoo Kim
We show that a hypersurface of the regularized, spatial circular restricted three-body problem is of contact type whenever the energy level is below the first critical value (the e…