Year: 2024
Type: conference-paper
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.
Institutions: Intesa Sanpaolo (Italy), Politecnico di Torino
Language: English
Subfield: Artificial Intelligence
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4406262214