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q-fin.CP2026
COS-TT-CHF: A Tensor-Train Characteristic-Function COS Method for Multi-Asset Option Pricing
Lucas Arenstein, Michael Kastoryano
This paper considers European multi-asset option pricing under Lévy and affine characteristic-function models. The main obstruction is the curse of dimensionality: direct multidime…
q-fin.CP2026
Full grid solution for multi-asset options pricing with tensor networks
Lucas Arenstein, Michael Kastoryano
Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and ar…