170 citations · 345 across the 27 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
math.PR2018★ 12 cited
Stability results for martingale representations: the general case
Antonis Papapantoleon, Dylan Possamai, Alexandros Saplaouras
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its…
q-fin.PR2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR ra…