1. Quantum Amplitude Loading for Rainbow Options Pricing
- Author
-
Cibrario, Francesca, Golan, Or Samimi, Ranieri, Giacomo, Dri, Emanuele, Ippoliti, Mattia, Cohen, Ron, Mattia, Christian, Montrucchio, Bartolomeo, Naveh, Amir, and Corbelletto, Davide
- Subjects
Quantum Physics ,Quantitative Finance - Pricing of Securities - 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., Comment: 9 pages, 5 figures
- Published
- 2024