Low-rank kernel methods for American option pricing

MaRDI QIDQ7247902arXivFDO

Authors Michael Peters, Paul Schneider, Chiara Segala

Publication date 2026

Published in arXiv

Mathematics Subject Classification ID

Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for low-rank matrix approximation; matrix compression (65F55) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

arXiv classification

math.NA

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