Option Pricing using Quantum Computers
We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we cover include vanilla options, multi-asset options and path-...
| Main Authors: | , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Verein zur Förderung des Open Access Publizierens in den Quantenwissenschaften
2020-07-01
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| Series: | Quantum |
| Online Access: | https://quantum-journal.org/papers/q-2020-07-06-291/pdf/ |