2 papers
q-fin.ST2026
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
Jeonggyu Huh, Seungwon Jeong, Hyun-Gyoon Kim +2
This paper introduces MarketGAN, a factor-based generative framework for high-dimensional asset return generation under severe data scarcity. We embed an explicit asset-pricing fac…
q-fin.MF2024
Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
Young Shin Kim, Hyun-Gyoon Kim
In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariat…