Related papers: Quantum Neural Computation for Option Price Modell…
Neural networks with sufficiently smooth activation functions can approximate values and derivatives of any smooth function, and they are differentiable themselves. We improve the approximation capability of neural networks by utilizing the…
Due to the strong correlations present in quantum systems, classical machine learning algorithms like stochastic gradient descent are often insufficient for the training of neural network quantum states (NQSs). These difficulties can be…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
The Schrodinger equation describes how quantum states evolve according to the Hamiltonian of the system. For physical systems, we have it that the Hamiltonian must be a Hermitian operator to ensure unitary dynamics. For anti-Hermitian…
In this paper, we introduce two novel methods to solve the American-style option pricing problem and its dual form at the same time using neural networks. Without applying nested Monte Carlo, the first method uses a series of neural…
The solution of option-pricing problems may turn out to be computationally demanding due to non-linear and path-dependent payoffs, the high dimensionality arising from multiple underlying assets, and sophisticated models of price dynamics.…
The Non-Markovian Stochastic Schrodinger Equation (NMSSE) offers a promising approach for open quantum simulations, especially in large systems, owing to its low scaling complexity and suitability for parallel computing. However, its…
By starting from the stochastic Schr\"odinger equation and quantum trajectory theory, we introduce memory effects by considering stochastic adapted coefficients. As an example of a natural non-Markovian extension of the theory of white…
This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…
In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price…
We introduce a unified framework -- Quantum Neural Ordinary and Partial Differential Equations (QNODEs and QNPDEs) -- which extends the continuous-time formalism of classical neural ordinary and partial differential equations into quantum…
Recognizing the importance of jump risk in option pricing, we propose a neural jump stochastic differential equation model in this paper, which integrates neural networks as parameter estimators in the conventional jump diffusion model. To…
We develop a quantum algorithm to price discretely monitored lookback options in the Black-Scholes framework using imaginary time evolution. By rewriting the pricing PDE as a Schrodinger-type equation, the problem becomes the imaginary time…
This study investigates the application of machine learning techniques, specifically Neural Networks, Random Forests, and CatBoost for option pricing, in comparison to traditional models such as Black-Scholes and Heston Model. Using both…
The limitations of the classical Black-Scholes model are examined by comparing calculated and actual historical prices of European call options on stocks from several sectors of the S&P 500. Persistent differences between the two prices…
It was recently shown that the Madelung equations, that is, a hydrodynamic form of the Schr\"odinger equation, can be derived from a canonical ensemble of neural networks where the quantum phase was identified with the free energy of hidden…
This thesis provides an overview of the recent advances in reinforcement learning in pricing and hedging financial instruments, with a primary focus on a detailed explanation of the Q-Learning Black Scholes approach, introduced by Halperin…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
Quantum machine learning has emerged as a potential practical application of near-term quantum devices. In this work, we study a two-layer hybrid classical-quantum classifier in which a first layer of quantum stochastic neurons implementing…
The nonlinear Schr\"odinger equation (NLSE) is a fundamental model that describes diverse complex phenomena in nature. However, simulating the NLSE on a quantum computer is inherently challenging due to the presence of the nonlinear term.…