彩虹期权定价的量子振幅加载

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-02-08 DOI:arxiv-2402.05574

Francesca Cibrario, Or Samimi, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto

{"title":"彩虹期权定价的量子振幅加载","authors":"Francesca Cibrario, Or Samimi, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto","doi":"arxiv-2402.05574","DOIUrl":null,"url":null,"abstract":"This work introduces a novel approach to price rainbow options, a type of\npath-independent multi-asset derivatives, with quantum computers. Leveraging\nthe Iterative Quantum Amplitude Estimation method, we present an end-to-end\nquantum circuit implementation, emphasizing efficiency by delaying the\ntransition to price space. Moreover, we analyze two different amplitude loading\ntechniques for handling exponential functions. Experiments on the IBM QASM\nsimulator validate our quantum pricing model, contributing to the evolving\nfield of quantum finance.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"18 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Quantum Amplitude Loading for Rainbow Options Pricing\",\"authors\":\"Francesca Cibrario, Or Samimi, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto\",\"doi\":\"arxiv-2402.05574\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This work introduces a novel approach to price rainbow options, a type of\\npath-independent multi-asset derivatives, with quantum computers. Leveraging\\nthe Iterative Quantum Amplitude Estimation method, we present an end-to-end\\nquantum circuit implementation, emphasizing efficiency by delaying the\\ntransition to price space. Moreover, we analyze two different amplitude loading\\ntechniques for handling exponential functions. Experiments on the IBM QASM\\nsimulator validate our quantum pricing model, contributing to the evolving\\nfield of quantum finance.\",\"PeriodicalId\":501355,\"journal\":{\"name\":\"arXiv - QuantFin - Pricing of Securities\",\"volume\":\"18 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-02-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Pricing of Securities\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2402.05574\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2402.05574","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Quantum Amplitude Loading for Rainbow Options Pricing

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

arXiv - QuantFin - Pricing of Securities

自引率

0.00%

发文量

期刊最新文献

Short-maturity Asian options in local-stochastic volatility models Automate Strategy Finding with LLM in Quant investment Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation Semi-analytical pricing of options written on SOFR futures A functional variational approach to pricing path dependent insurance policies