Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats (Q6159076)
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scientific article; zbMATH DE number 7691063
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats |
scientific article; zbMATH DE number 7691063 |
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Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats (English)
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1 June 2023
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Bermudan option
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tensor train
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Longstaff-Schwartz
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Wiener chaos expansion
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dual martingale optimization
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