"Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric ..."

Kathrin Glau, Daniel Kressner, Francesco Statti (2020)

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DOI: 10.1137/19M1244172

access: closed

type: Journal Article

metadata version: 2020-10-23

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Kathrin Glau, Daniel Kressner, Francesco Statti:
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing. SIAM J. Financial Math. 11(3): 897-927 (2020)

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