Quantum Amplitude Loading for Rainbow Options Pricing
Quantum Physics
2024-10-02 v3 Pricing of Securities
Abstract
This work introduces a novel approach to price rainbow options, a type of path-independent multi-asset derivatives, with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, we present an end-to-end quantum circuit implementation, emphasizing efficiency by delaying the transition to price space. Moreover, we analyze two different amplitude loading techniques for handling exponential functions. Experiments on the IBM QASM simulator validate our quantum pricing model, contributing to the evolving field of quantum finance.
Keywords
Cite
@article{arxiv.2402.05574,
title = {Quantum Amplitude Loading for Rainbow Options Pricing},
author = {Francesca Cibrario and Or Samimi Golan and Giacomo Ranieri and Emanuele Dri and Mattia Ippoliti and Ron Cohen and Christian Mattia and Bartolomeo Montrucchio and Amir Naveh and Davide Corbelletto},
journal= {arXiv preprint arXiv:2402.05574},
year = {2024}
}
Comments
9 pages, 5 figures