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Goal: Implementation of Quantum Algorithm to Speedup Derivative Pricing Beyond Black-Scholes
Pipeline
- CLASSICAL:
$S(0)$ : Prepare the data at time 0 - Computing the matured distribution:
- QUANTUM Fast Forwarding:
- QUANTUM: Non-Fast-Forward Quantum MLMC (Asian option pricing via Quantum Amplitude Estimation + MLMC hierarchy)
- CLASSICAL: Payoff Calculation
- QUANTUM: Greek aware settlement
Speedups:
- Quantum Fast Forwarding:
- MLMC+Quantum:
- Greek aware settlement: Exponential reduction in the number of qubits.
Future directions
- Quantum Logic for application of the payout function
- Fully quantum pipeline, Greek aware settlement taking directly state as an input
References:
- Stamatopoulos et al. (2020): Option Pricing using Quantum Computers, Quantum 4, 291
- Wang and Kan (2024): Option pricing under stochastic volatility on a quantum computer, Quantum 8, 1504
- Herman et al. (2026): Quantum Speedups for Derivative Pricing Beyond Black-Scholes, arXiv:2602.03725
- Zoufal et al. (2019): Quantum Generative Adversarial Networks for learning and loading random distributions, npj Quantum Information 5, 103