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"Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats."

Christian Bayer et al. (2023)

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DOI: 10.1137/21M1402170

access: closed

type: Journal Article

metadata version: 2023-05-17

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  - journals/siamfm/BayerEST23
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Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke:
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math. 14(2): 383-406 (2023)

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