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

Christian Bayer et al. (2023)

> Home

Details and statistics

DOI: 10.1137/21M1402170

access: closed

type: Journal Article

metadata version: 2023-05-17

- view
  - electronic edition via DOI
  - unpaywalled version
  authority control:
- export record
  dblp key:
  - journals/siamfm/BayerEST23
- ask others
- share record
  persistent URL:
  - https://dblp.org/rec/journals/siamfm/BayerEST23
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)

manage site settings

To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.