89 citations · 90 across the 3 of their papers we have counts for
3 papers
q-fin.CP2020★ 1 cited
Deep Local Volatility
Marc Chataigner, Stéphane Crépey, Matthew Dixon
Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approac…
q-fin.CP2017
Invariance times
Stéphane Crépey, Shiqi Song
On a probability space we consider two filtrations and a stopping time such that the predi…
math.PR2008★ 89 cited
Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
Stéphane Crépey, Anis Matoussi
It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, w…