Full grid solution for multi-asset options pricing with tensor networks

arXiv:2601.00009v2 Announce Type: replace-cross Abstract: Pricing multi-asset options via the Black-Scholes PDE is limited by the curse of dimensionality: classical full-grid solvers scale exponentially in the number of underlyings and are effectively restricted to three asset...

🔗 Read more: https://arxiv.org/abs/2601.00009

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