Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
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Publication:5131414
DOI10.1137/19M1244172zbMath1452.91325arXiv1902.04367MaRDI QIDQ5131414
Kathrin Glau, Francesco Statti, Daniel Kressner
Publication date: 7 November 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.04367
Chebyshev interpolation; tensor completion; tensor train format; high-dimensional problem; low-rank tensor approximation; parametric option pricing
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65D05: Numerical interpolation
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Uses Software
Cites Work
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