Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading
Abstract
We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high-performance computing (HPC) hardware, along with an empirical analysis of convergence to the classically estimated value. Our key innovation is an improved integration-based exponential amplitude loading technique that reduces circuit depth compared to state-of-the-art approaches. A detailed complexity analysis in a relevant setting shows an approximately 50x reduction in T-depth for the payoff component relative to previous methods. These contributions represent a step toward more efficient quantum approaches to pricing complex financial derivatives.
Keywords
Cite
@article{arxiv.2507.19039,
title = {Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading},
author = {Francesca Cibrario and Ron Cohen and Emanuele Dri and Christian Mattia and Or Samimi Golan and Tamuz Danzig and Giacomo Ranieri and Hanan Rosemarin and Davide Corbelletto and Amir Naveh and Bartolomeo Montrucchio},
journal= {arXiv preprint arXiv:2507.19039},
year = {2025}
}
Comments
11 pages, to be published in the proceedings of the IEEE International Conference on Quantum Computing and Engineering - QCE25