Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
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Publication:6159076
DOI10.1137/21m1402170zbMath1516.91066arXiv2103.01934OpenAlexW3135196308MaRDI QIDQ6159076
Philipp Trunschke, Leon Sallandt, Christian Bayer, Martin Eigel
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.01934
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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