170 citations · 345 across the 27 of their papers we have counts for
6 papers · 1 filter
Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interaction in their generators in a general setting, where the drivers are square-…
Improved model-free bounds for multi-asset options using option-implied information and deep learning
Evangelia Dragazi, Shuaiqiang Liu, Antonis Papapantoleon
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.…
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
Antonis Papapantoleon, Jasper Rou
We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approxima…
Convergence rates for Backward SDEs driven by Lévy processes
Chenguang Liu, Antonis Papapantoleon, Alexandros Saplaouras
We consider Lévy processes that are approximated by compound Poisson processes and, correspondingly, BSDEs driven by Lévy processes that are approximated by BSDEs driven by their c…
A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models
Emmanuil H. Georgoulis, Antonis Papapantoleon, Costas Smaragdakis
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 p…