Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
نویسندگان
چکیده
منابع مشابه
Low-rank Tensor Approximation
Approximating a tensor by another of lower rank is in general an ill posed problem. Yet, this kind of approximation is mandatory in the presence of measurement errors or noise. We show how tools recently developed in compressed sensing can be used to solve this problem. More precisely, a minimal angle between the columns of loading matrices allows to restore both existence and uniqueness of the...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2020
ISSN: 1945-497X
DOI: 10.1137/19m1244172