Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats-Reference-Cited by-同舟云学术

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Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats

Published:2023-04-25 Issue:2 Volume:14 Page:383-406
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Bayer Christian¹^ORCID,Eigel Martin¹,Sallandt Leon²^ORCID,Trunschke Philipp³^ORCID

Affiliation:

1. Weierstrass Institute for Applied Analysis and Stochastics, Berlin, 10117, Germany.

2. Technische Universität Berlin, Institut für Mathematik, Berlin, 10623, Germany.

3. Nantes Université, Laboratoire de Mathématiques Jean Leray, Nantes, 44321, France.

Funder

Deutsche Forschungsgemeinschaft

Technische Universität Berlin

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference44 articles.

1. Optimization Algorithms on Matrix Manifolds

2. Computational Methods for Option Pricing

3. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

4. Parametric PDEs: sparse or low-rank approximations?

5. Parametric PDEs: sparse or low-rank approximations?

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1. Deep learning variational Monte Carlo for solving the electronic Schrödinger equation;Handbook of Numerical Analysis;2024

2. Optimal stopping via randomized neural networks;Frontiers of Mathematical Finance;2023

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