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.
Hull, Options, Futures, and Other Derivatives Global Edition (Pearson Deutschland, 2021) p
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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.