Related papers: Full grid solution for multi-asset options pricing…

We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average…

We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme is second-order accurate in time and fourth-order accurate in…

Markov chains that describe interacting subsystems suffer, on the one hand, from state space explosion but lead, on the other hand, to highly structured matrices. In this work, we propose a novel tensor-based algorithm to address such…

Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…

We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive…

In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…

Tensor train (TT) decomposition has drawn people's attention due to its powerful representation ability and performance stability in high-order tensors. In this paper, we propose a novel approach to recover the missing entries of incomplete…

The numerical solution of high dimensional partial differential equations (PDEs) is severely constrained by the curse of dimensionality (CoD), rendering classical grid--based methods impractical beyond a few dimensions. In recent years,…

We study multilevel techniques, commonly used in PDE multigrid literature, to solve structured optimization problems. For a given hierarchy of levels, we formulate a coarse model that approximates the problem at each level and provides a…

Neural networks with sufficiently smooth activation functions can approximate values and derivatives of any smooth function, and they are differentiable themselves. We improve the approximation capability of neural networks by utilizing the…

Tensor Train (TT) decompositions provide a powerful framework to compress grid-structured data, such as sampled function values, on regular Cartesian grids. Such high compression, in turn, enables efficient high-dimensional computations.…

In the framework of tensor spaces, we consider orthogonalization kernels to generate an orthogonal basis of a tensor subspace from a set of linearly independent tensors. In particular, we experimentally study the loss of orthogonality of…

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…

Partial differential equation (PDE) solvers underpin modern quantitative finance, governing option pricing and risk evaluation. Physics-Informed Neural Networks (PINNs) have emerged as a promising approach for solving the forward and…

Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the "curse of dimensionality". This paper…

Data encoding remains a fundamental bottleneck in quantum machine learning, where amplitude encoding of high-dimensional classical vectors into quantum states incurs exponential cost. In this work, we propose a pre-trained tensor-train (TT)…

We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…

The present study investigates the numerical solution of Black-Scholes partial differential equation (PDE) for option valuation with multiple underlying assets. We develop a physics-informed (PI) machine learning algorithm based on a radial…

Many problems in computational science and engineering involve partial differential equations and thus require the numerical solution of large, sparse (non)linear systems of equations. Multigrid is known to be one of the most efficient…

We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we…