Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats.
Christian BayerMartin EigelLeon SallandtPhilipp TrunschkePublished in: SIAM J. Financial Math. (2023)
Keyphrases
- high dimensional
- dimensionality reduction
- option pricing
- black scholes model
- double exponential
- low dimensional
- higher order
- metadata
- high dimensional data
- similarity search
- high dimensionality
- hierarchical structure
- metric space
- nearest neighbor
- high order
- gene expression data
- feature space
- high dimensional problems
- input space
- variable selection
- hierarchical model
- feature selection
- multimedia
- high dimensional spaces
- stock price
- manifold learning
- coarse to fine
- hierarchical clustering
- noisy data