A tensor-train Fourier pricing method is extended to compute Greeks, and numerically differentiating one tensor core is shown to be simpler and often more accurate than building tensor trains from analytical Greek formulas.
Barndorff-Nielsen , Processes of normal inverse gaussian type , Finance and Stochastics, 2 (1997), pp
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Tensor train representations of Greeks for Fourier-based pricing of multi-asset options
A tensor-train Fourier pricing method is extended to compute Greeks, and numerically differentiating one tensor core is shown to be simpler and often more accurate than building tensor trains from analytical Greek formulas.