Related papers: Pricing Lookback Options on a Quantum Computer
This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability region, comparatively to the Runge-Kutta-Chebyshev scheme…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
This paper presents a discrete-time option pricing model that is rooted in Reinforcement Learning (RL), and more specifically in the famous Q-Learning method of RL. We construct a risk-adjusted Markov Decision Process for a discrete-time…
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…
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…
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…
The quantum imaginary time evolution (QITE) methodology was developed to overcome a critical issue as regards non-unitarity in the implementation of imaginary time evolution on a quantum computer. QITE has since been used to approximate…
In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic…
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…
The variational quantum eigensolver (VQE) is an algorithm for finding the ground states of a given Hamiltonian. Its application to binary-formulated combinatorial optimization (CO) has been widely studied in recent years. However, typical…
The variational quantum eigensolver (VQE) is a method that uses a hybrid quantum-classical computational approach to find eigenvalues and eigenvalues of a Hamiltonian. VQE has been proposed as an alternative to fully quantum algorithms such…
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE…
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…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
Efficiently preparing approximate ground-states of large, strongly correlated systems on quantum hardware is challenging and yet nature is innately adept at this. This has motivated the study of thermodynamically inspired approaches to…
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.…
Efficient ground state search is fundamental to advancing combinatorial optimization problems and quantum chemistry. While the Variational Imaginary Time Evolution (VITE) method offers a useful alternative to Variational Quantum Eigensolver…
Various methods have been developed for the quantum computation of the ground and excited states of physical and chemical systems, but many of them require either large numbers of ancilla qubits or high-dimensional optimization. The quantum…
Solving combinatorial optimization problems using variational quantum algorithms (VQAs) has emerged as a promising research direction. Since the introduction of the Quantum Approximate Optimization Algorithm (QAOA), numerous variants have…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…