Tensor-network approximations price binomial Asian and multi-asset American basket options with linear-in-size cost in tested regimes, beating Monte Carlo for high volatility and small time steps.
Additionally, this form also ensures that the correlation matrix is positive definite as required by the decoupling trees approach
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Boosting Binomial Exotic Option Pricing with Tensor Networks
Tensor-network approximations price binomial Asian and multi-asset American basket options with linear-in-size cost in tested regimes, beating Monte Carlo for high volatility and small time steps.