Pricing high-dimensional Bermudan options with hierarchical tensor formats
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2821 | |
dc.contributor.author | Bayer, Christian | |
dc.contributor.author | Eigel, Martin | |
dc.contributor.author | Sallandt, Leon | |
dc.contributor.author | Trunschke, Philipp | |
dc.date.accessioned | 2022-07-05T14:00:02Z | |
dc.date.available | 2022-07-05T14:00:02Z | |
dc.date.issued | 2021 | |
dc.description.abstract | An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the ``curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte Carlo least-squares approach as well as the dual martingale method, both using high-dimensional tensorized polynomial expansions. This discretization allows for a simple and computationally cheap evaluation of conditional expectations. Complexity estimates are provided as well as a description of the optimization procedures in the tensor train format. Numerical experiments illustrate the favourable accuracy of the proposed methods. The dynamical programming method yields results comparable to recent Neural Network based methods. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9539 | |
dc.identifier.uri | https://doi.org/10.34657/8577 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2821 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | |
dc.subject.other | Bermudan option | eng |
dc.subject.other | tensor-train | eng |
dc.subject.other | Longstaff--Schwartz algorithm | eng |
dc.subject.other | Wiener chaos expansion | eng |
dc.title | Pricing high-dimensional Bermudan options with hierarchical tensor formats | eng |
dc.type | Report | eng |
dc.type | Text | eng |
dcterms.extent | 20 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
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