Related papers: Quantum option pricing using Wick rotated imaginar…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
In this work we present an alternative methodology to the standard Quantum Accelerated Monte Carlo (QAMC) applied to derivatives pricing. Our pipeline benefits from the combination of a new encoding protocol, referred to as the direct…
With some transformations, we convert the problem of option pricing under state-dependent volatility into an initial value problem of the Fokker-Planck equation with a certain potential. By using the Lie symmetry analysis and similarity…
The quantum critical regime marks a zone in the phase diagram where quantum fluctuation around the critical point plays a significant role at finite temperatures. While it is of great physical interest, simulation of the quantum critical…
Variational quantum circuits build the foundation for various classes of quantum algorithms. In a nutshell, the weights of a parametrized quantum circuit are varied until the empirical sampling distribution of the circuit is sufficiently…
Using the projection evolution (PEv) approach, time can be included in the quantum mechanics as an observable. Having the time operator, it is possible to explore the temporal structure of various quantum events. In the present paper we…
Quantum confinement is studied by numerically solving time-dependent Schr\"odinger equation. An imaginary-time evolution technique is employed in conjunction with the minimization of an expectation value, to reach the global minimum.…
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional double-barrier step (PDBS) options, the option price changing process is analogous to a particle moving in a finite symmetric…
In light of recent exciting progress in building up quantum computing facilities based on both optical and cold-atom techniques, the algorithms for quantum simulations of particle-physics systems are in rapid progress. In this paper, we…
We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics. The option pricing problem is formulated as a partial integro-differential equation, which is approximated…
Quantum computers currently rely on a hybrid quantum-classical approach known as Variational Quantum Algorithms (VQAs) to solve problems. Still, there are several challenges with VQAs on the classical computing side: it corresponds to a…
This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility of variance. Then we introduce the…
Portfolio optimization plays a central role in finance to obtain optimal portfolio allocations that aim to achieve certain investment goals. Over the years, many works have investigated different variants of portfolio optimization.…
We propose a new variational quantum algorithm, which we refer to as TIMES-ADAPT, that prepares time-evolved states in a low-energy or symmetric subspace of a time-independent Hamiltonian on a quantum computer. Using a specially trained…
In the paper, the pricing of Quanto options is studied, where the underlying foreign asset and the exchange rate are correlated with each other. Firstly, we adopt Bayesian methods to estimate unknown parameters entering the pricing formula…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
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,…
With the goal in mind of deriving a method to compute quantum corrections for the real-time evolution in quantum field theory, we analyze the problem from the perspective of the Wigner function. We argue that this provides the most natural…