Learning parameter dependence for Fourier-based option pricing with tensor trains

By Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto

Published 2024-06-25

Everscope rating

1748.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Tensor Train Learning. Problem types: Option Pricing, Dimensionality Reduction.

arXiv:2405.00701 · Paper rankings

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