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A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015188448
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin - In: Quantitative finance 19 (2019) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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Fractional stochastic volatility correction to CEV implied volatility
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon - In: Quantitative finance 21 (2021) 4, pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
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A scaled version of the double-mean-reverting model for VIX derivatives
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon - In: Mathematics and financial economics 12 (2018) 4, pp. 495-515
Persistent link: https://www.econbiz.de/10011963875