Archivio Istituzionale della RicercaThis 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.
Quantum Amplitude Loading for Rainbow Options Pricing / Cibrario, Francesca; Samimi Golan, Or; Ranieri, Giacomo; Dri, Emanuele; Ippoliti, Mattia; Cohen, Ron; Mattia, Christian; Montrucchio, Bartolomeo; Naveh, Amir; Corbelletto, Davide. - ELETTRONICO. - (In corso di stampa). (Intervento presentato al convegno 2024 IEEE International Conference on Quantum Computing and Engineering (QCE) tenutosi a Montreal (CA) nel 15-20 september 2024).
Quantum Amplitude Loading for Rainbow Options Pricing
Emanuele Dri;Bartolomeo Montrucchio;Davide Corbelletto
In corso di stampa
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.
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https://hdl.handle.net/11583/2991825