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

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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。

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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.

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arXiv - QuantFin - Pricing of Securities

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