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q-fin.CP2025
Tensor train representations of Greeks for Fourier-based pricing of multi-asset options
Rihito Sakurai, Koichi Miyamoto, Tsuyoshi Okubo
Efficient computation of Greeks for multi-asset options remains a key challenge in quantitative finance. While Monte Carlo (MC) simulation is widely used, it suffers from the large…
q-fin.CP2024★ 5 cited
Learning parameter dependence for Fourier-based option pricing with tensor trains
Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto
A long-standing issue in mathematical finance is the speed-up of option pricing, especially for multi-asset options. A recent study has proposed to use tensor train learning algori…