Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats

Christian Bayer 0001, Martin Eigel, Leon Sallandt, Philipp Trunschke. Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math., 14(2):383-406, June 2023. [doi]

Abstract

Abstract is missing.