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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…
One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based…
A derivative is a financial security whose value is a function of underlying traded assets and market outcomes. Pricing a financial derivative involves setting up a market model, finding a martingale (``fair game") probability measure for…
In this paper a time-fractional Black-Scholes model (TFBSM) is considered to study the price change of the underlying fractal transmission system. We develop and analyze a numerical method to solve the TFBSM governing European options. The…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough…
Modeling non-Hermitian Hamiltonians is increasingly important in classical and quantum domains, especially when studying open systems, $PT$ symmetry, and resonances. However, the quantum simulation of these models has been limited by the…
A quantum algorithm for solving the advection equation by embedding the discrete time-marching operator into Hamiltonian simulations is presented. One-dimensional advection can be simulated directly since the central finite difference…
Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
This paper explores advancements in quantum algorithms for derivative pricing of exotics, a computational pipeline of fundamental importance in quantitative finance. For such cases, the classical Monte Carlo integration procedure provides…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…
This paper implements an efficient numerical algorithm for the time-fractional Black-Scholes model governing European options. The proposed method comprises the Crank-Nicolson approach to discretize the time variable and exponential…
Quantum simulation holds the promise of improving the atomic simulations used at EDF to anticipate the ageing of materials of interest. One simulator in particular seems well suited to modeling interacting electrons: the Rydberg atoms…
We develop an analog classical simulation algorithm of noiseless quantum dynamics. By formulating the Schr\"{o}dinger equation into a linear system of real-valued ordinary differential equations (ODEs), the probability amplitudes of a…
Variational quantum Monte Carlo (VMC) combined with neural-network quantum states offers a novel angle of attack on the curse-of-dimensionality encountered in a particular class of partial differential equations (PDEs); namely, the real-…
We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…
We propose a simple quantum algorithm for simulating highly oscillatory quantum dynamics, which does not require complicated quantum control logic for handling time-ordering operators. To our knowledge, this is the first quantum algorithm…