Francesca Cibrario, Or Samimi, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto
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引用次数: 0
Abstract
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 circuit implementation, emphasizing efficiency by delaying the
transition to price space. Moreover, we analyze two different amplitude loading
techniques for handling exponential functions. Experiments on the IBM QASM
simulator validate our quantum pricing model, contributing to the evolving
field of quantum finance.
这项研究介绍了一种利用量子计算机为彩虹期权（一种与路径无关的多资产衍生品）定价的新方法。利用迭代量子振幅估计方法，我们提出了一种端到端的量子电路实现方法，通过延迟向价格空间的转换来强调效率。此外，我们还分析了处理指数函数的两种不同振幅加载技术。在 IBM QASMsimulator 上的实验验证了我们的量子定价模型，为量子金融领域的发展做出了贡献。
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