Related papers: Quantum option pricing using Wick rotated imaginar…
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…
Imaginary time evolution is a powerful tool for studying quantum systems. While it is possible to simulate with a classical computer, the time and memory requirements generally scale exponentially with the system size. Conversely, quantum…
The imaginary-time evolution of quantum states is integral to various fields, ranging from natural sciences to classical optimization or machine learning. Since simulating quantum imaginary-time evolution generally requires storing an…
We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we…
In this paper, we introduce an efficient and end-to-end quantum algorithm tailored for computing the Value-at-Risk (VaR) and conditional Value-at-Risk (CVar) for a portfolio of European options. Our focus is on leveraging quantum…
Imaginary-time evolution is fundamental for analyzing quantum many-body systems, yet classical simulation requires exponentially growing resources in both system size and evolution time. While quantum approaches reduce the system-size…
Imaginary-time evolution has been shown to be a promising framework for tackling combinatorial optimization problems on quantum hardware. In this work, we propose a classical quantum-inspired strategy for solving combinatorial optimization…
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 develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…
We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equivalence between the pricing partial differential equation…
Imaginary-time evolution plays an important role in algorithms for computing ground-state and thermal equilibrium properties of quantum systems, but can be challenging to simulate on classical computers. Many quantum algorithms for…
We present a quantum algorithm for European option pricing in finance, where the key idea is to work in the unary representation of the asset value. The algorithm needs novel circuitry and is divided in three parts: first, the amplitude…
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…
The accurate valuation of financial derivatives plays a pivotal role in the finance industry. Although closed formulas for pricing are available for certain models and option types, exemplified by the European Call and Put options in the…
The financial sector is anticipated to be one of the first industries to benefit from the increased computational power of quantum computers, in areas such as portfolio optimisation and risk management to financial derivative pricing.…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
A fast implementation of the quantum imaginary time evolution (QITE) algorithm called Fast QITE is proposed. The algorithmic cost of QITE typically scales exponentially with the number of particles it nontrivially acts on in each Trotter…
Quantum imaginary time evolution (QITE) is a recently proposed quantum-classical hybrid algorithm that is guaranteed to reach the lowest state of system. In this study, we present several improvements on QITE, mainly focusing on molecular…
The quantum imaginary time evolution is a powerful algorithm for preparing the ground and thermal states on near-term quantum devices. However, algorithmic errors induced by Trotterization and local approximation severely hinder its…
Approximate combinatorial optimization is a promising use case for quantum computers. The quantum optimization algorithms often employ a fixed ansatz that evolves an unbiased initial state towards states with better values of the optimand,…