Zobrazeno 1 - 10
of 134
pro vyhledávání: '"PAPAPANTOLEON, ANTONIS"'
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent increments ca
Externí odkaz:
http://arxiv.org/abs/2408.13758
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the marginal distribu
Externí odkaz:
http://arxiv.org/abs/2404.02343
Autor:
Bayer, Christian, Hammouda, Chiheb Ben, Papapantoleon, Antonis, Samet, Michael, Tempone, Raúl
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. The Monte Carlo (MC) method remains the prevalent choice for pricing engines; however, its slow convergence rate impedes its practical application. Fourier
Externí odkaz:
http://arxiv.org/abs/2403.02832
Autor:
Papapantoleon, Antonis, Rou, Jasper
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial different
Externí odkaz:
http://arxiv.org/abs/2403.00746
We consider L\'evy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by L\'evy processes that are approximated by BSDEs driven by their compound Poisson approximations. We are interested in the rate of c
Externí odkaz:
http://arxiv.org/abs/2402.01337
We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics. The option pricing problem is formulated as a partial integro-differential equation, which is approximated via a new
Externí odkaz:
http://arxiv.org/abs/2401.06740
We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities). The majority of articles i
Externí odkaz:
http://arxiv.org/abs/2307.07657
Autor:
Samet, Michael, Bayer, Christian, Hammouda, Chiheb Ben, Papapantoleon, Antonis, Tempone, Raúl
Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compared to alternative techniques because the integrand in the frequency s
Externí odkaz:
http://arxiv.org/abs/2203.08196
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own filtration,
Externí odkaz:
http://arxiv.org/abs/2107.11048
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in tha
Externí odkaz:
http://arxiv.org/abs/2006.14288