Pricing high-dimensional Bermudan options with hierarchical tensor formats.
Christian BayerMartin EigelLeon SallandtPhilipp TrunschkePublished in: CoRR (2021)
Keyphrases
- high dimensional
- option pricing
- dimensionality reduction
- black scholes model
- double exponential
- low dimensional
- hierarchical structure
- hierarchical clustering
- high dimensionality
- neural network
- high dimensional data
- higher order
- similarity search
- input space
- hierarchical model
- high dimensional problems
- multi dimensional
- high order
- microarray data
- pairwise
- dynamic pricing
- feature space
- multimedia
- metadata