Quantum Amplitude Loading for Rainbow Options Pricing
Fuente:
arXiv
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| Autores principales: | , , , , , , , , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866916418395570176 |
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| author | Cibrario, Francesca Golan, Or Samimi Ranieri, Giacomo Dri, Emanuele Ippoliti, Mattia Cohen, Ron Mattia, Christian Montrucchio, Bartolomeo Naveh, Amir Corbelletto, Davide |
| author_facet | Cibrario, Francesca Golan, Or Samimi Ranieri, Giacomo Dri, Emanuele Ippoliti, Mattia Cohen, Ron Mattia, Christian Montrucchio, Bartolomeo Naveh, Amir Corbelletto, Davide |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_05574 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Quantum Amplitude Loading for Rainbow Options Pricing Cibrario, Francesca Golan, Or Samimi Ranieri, Giacomo Dri, Emanuele Ippoliti, Mattia Cohen, Ron Mattia, Christian Montrucchio, Bartolomeo Naveh, Amir Corbelletto, Davide Quantum Physics Pricing of Securities 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. |
| title | Quantum Amplitude Loading for Rainbow Options Pricing |
| topic | Quantum Physics Pricing of Securities |
| url | https://arxiv.org/abs/2402.05574 |