COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing

DOI10.48550/arXiv.2608.17636MaRDI QIDQ7284841arXivFDO

Authors Lucas Arenstein, Michael Kastoryano

Publication date 18 August 2026

Published in arXiv

Tldr We extend the COS-TT-CHF method to price multi-asset options under Lévy models using low-rank tensor-train representations of characteristic-function tensors and demonstrate a significant computational advantage against existing approaches for up to 30 assets.

Full work available at URL https://doi.org/10.48550/arXiv.2608.17636

arXiv classification

math.NAq-fin.CPq-fin.PR

Cites work

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