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Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing.
- Source :
- Quantitative Finance; Jan2024, Vol. 24 Issue 1, p1-11, 11p
- Publication Year :
- 2024
-
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]
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 24
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 175141116
- Full Text :
- https://doi.org/10.1080/14697688.2023.2259954