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Pricing model for path-dependent American options using tensors

20260 citationsJournal Article

Authors

Kensuke Kato · Sumitomo Mitsui Banking Corporation

Topics & Keywords

Stochastic processes and financial applications Mathematical Approximation and Integration Financial Risk and Volatility Modeling

Publication Details

Published in: Mathematics and Computers in Simulation

Volume 247, pp. 175-209

DOI: 10.1016/j.matcom.2026.03.013

Field-Weighted Citation Impact: 0.00

Pricing model for path-dependent American options using tensors | Researchclopedia