2 papers
q-fin.CP2019
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Damir Filipović, Kathrin Glau, Yuji Nakatsukasa +1
We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This n…
q-fin.CP2019
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
Kathrin Glau, Daniel Kressner, Francesco Statti
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibra…