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Jeonggyu Huh

Sungkyunkwan University (from arXiv:2601.17773, 2026) · ORCID · OpenAlex

25 papers in scope · 24 published · 1 on the econ.EM arXiv · 53 citations · h-index 5 (over the papers listed here)

Related authors

The 4 authors closest to this one in our weighted citation graph, most related first.

  1. Hyun-Gyoon Kim
  2. Byung Hwa Lim
  3. Seungwon Jeong
  4. Hyeng Keun Koo

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(1 of 25)

Equity premium forecasting with reliability-screened forward-looking signals
published2026 · PLoS ONE
with Jaegi Jeon, Seungwon Jeong
PLoS ONE
MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks
working paper2026 · arXiv
with Seungwon Jeong, Hyun-Gyoon Kim, Hyeng Keun Koo, Byung Hwa Lim
Paper profile arXiv arXiv:2601.17773
DeepONet-based surrogate modeling for bond option pricing
published2026 · AIMS Mathematics
with Sanghyun Lee, Seungwon Jeong
AIMS Mathematics
Learning Distributions for Continuous-Time Financial Models
published2025 · Computational Economics
with Seungwon Jeong
Computational Economics
Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques
published2025 · Computers & Mathematics with Applications
with Donghyun Kim, Ji-Hun Yoon
Computers & Mathematics with Applications
Pontryagin-guided direct policy optimization for continuous-time portfolio problem
published2025
with Seungwon Jeong, Jaegi Jeon
publisher
Reliable option pricing through deep learning: An anomaly score-based approach
published2025 · Networks and Heterogeneous Media
with Jihong Park, Jaegi Jeon
Networks and Heterogeneous Media
Deep learning of optimal exercise boundaries for American options
published2024 · International Journal of Computer Mathematics · 2 citations
with Hyun-Gyoon Kim
International Journal of Computer Mathematics
Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding
published2024 · Operations Research Letters · 2 citations · first circulated 2023
with Jaehyuk Choi, Nan Su
Operations Research Letters
Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models
published2024 · Computational Economics
with Hyun-Gyoon Kim, Hyeongmi Kim
Computational Economics
Random Augmentation Technique for Mitigating Overfitting in Neural Networks for Financial Time Series Forecasting
published2023 · The Korean Data Analysis Society · 4 citations
with Yeonglong Kwak
The Korean Data Analysis Society
An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model
published2023 · Advances in Continuous and Discrete Models · 7 citations
with Jaegi Jeon, Geonwoo Kim
Advances in Continuous and Discrete Models
Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities
published2022 · Journal of risk and financial management
with Geon Lee, Tae-Kyoung Kim, Hyun-Gyoon Kim
Journal of risk and financial management
Pricing path-dependent exotic options with flow-based generative networks
published2022 · Applied Soft Computing · 9 citations
with Hyun-Gyoon Kim, Se-Jin Kwon, Jeong-Hoon Kim
Applied Soft Computing
Large-scale online learning of implied volatilities
published2022 · Expert Systems with Applications · 3 citations
with Tae-Kyoung Kim, Hyun-Gyoon Kim
Expert Systems with Applications
Variable annuity with a surrender option under multiscale stochastic volatility
published2022 · Japan Journal of Industrial and Applied Mathematics
with Junkee Jeon, Kyunghyun Park
Japan Journal of Industrial and Applied Mathematics
Extensive networks would eliminate the demand for pricing formulas
published2021 · Knowledge-Based Systems · 1 citations
with Jaegi Jeon, Kyunghyun Park
Knowledge-Based Systems
An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model
published2021 · Chaos Solitons & Fractals · 10 citations
with Jaegi Jeon, Geonwoo Kim
Chaos Solitons & Fractals
Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility
published2021 · Journal of Futures Markets · first circulated 2019
with Jaegi Jeon, Geonwoo Kim
Journal of Futures Markets
Measuring systematic risk with neural network factor model
published2019 · Physica A Statistical Mechanics and its Applications · 1 citations
Physica A Statistical Mechanics and its Applications
An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes
published2019 · Computational Economics · 5 citations
with Junkee Jeon, Kyunghyun Park
Computational Economics
Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility
published2019 · Computational Economics
with Jaegi Jeon, Yong-Ki Ma
Computational Economics
Pricing options with exponential Lévy neural network
published2019 · Expert Systems with Applications
Expert Systems with Applications
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
published2018 · Quantitative Finance · 3 citations
with Jaegi Jeon, Jeong-Hoon Kim, Hyejin Park
Quantitative Finance
A scaled version of the double-mean-reverting model for VIX derivatives
published2018 · Mathematics and Financial Economics · 6 citations
with Jaegi Jeon, Jeong-Hoon Kim
Mathematics and Financial Economics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.