89 citations · 90 across the 3 of their papers we have counts for
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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…