COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing (Q7284841)
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| English | COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing |
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COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing (English)
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18 August 2026
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q-fin.CP
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math.NA
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q-fin.PR
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Lucas Arenstein
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Michael Kastoryano
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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.
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Option Pricing
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Tensor-Train
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Characteristic Function
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Multivariate
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Financial Modelling
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