2 papers
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…
math.NA2025
Fast and Flexible Quantum-Inspired Differential Equation Solvers with Data Integration
Lucas Arenstein, Martin Mikkelsen, Michael Kastoryano
Accurately solving high-dimensional partial differential equations (PDEs) remains a central challenge in computational mathematics. Traditional numerical methods, while effective i…