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1. Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing.

Author

Zhao, Tianchen, Sun, Chuhao, Cohen, Asaf, Stokes, James, and Veerapaneni, Shravan

Subjects
PARTIAL differential equations, TIME-dependent Schrodinger equations, PRICES, QUANTUM states, ALGORITHMS, DERIVATIVE securities
Abstract

Variational quantum Monte Carlo (VMC) combined with neural-network quantum states offers a novel angle of attack on the curse-of-dimensionality encountered in a particular class of partial differential equations (PDEs); namely, the real- and imaginary time-dependent Schrödinger equation. In this paper, we present a simple generalization of VMC applicable to arbitrary time-dependent PDEs, showcasing the technique in the multi-asset Black-Scholes PDE for pricing European options contingent on many correlated underlying assets. [ABSTRACT FROM AUTHOR]

Published
2024
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