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…
econ.TH2019
Optimal Insurance with Limited Commitment in a Finite Horizon
Junkee Jeon, Hyeng Keun Koo, Kyunghyun Park
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make c…