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News/STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing
arxiv
PublishedMarch 30, 2026 at 4:00 AM

STN-GPR: A Singularity Tensor Network Framework for Efficient Option Pricing

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arXiv:2603.26318v1 Announce Type: cross Abstract: We develop a tensor-network surrogate for option pricing, targeting large-scale portfolio revaluation problems arising in market risk management (e.g., VaR and Expected Shortfall computations). The method involves representing high-dimensional price

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