5 citations · 5 across the 3 of their papers we have counts for
3 papers
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…
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…
Time series generation for option pricing on quantum computers using tensor network
Nozomu Kobayashi, Yoshiyuki Suimon, Koichi Miyamoto
Finance, especially option pricing, is a promising industrial field that might benefit from quantum computing. While quantum algorithms for option pricing have been proposed, it is…