| Autor: |
Mark-Oliver Wolf, Roman Horsky, Jonas Koppe |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
|
| Zdroj: |
Risks, Vol 10, Iss 12, p 221 (2022) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks10120221 |
| Popis: |
We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an underlying valuation tree. The paths of the tree are encoded in bit-representation into a qubit register, where quantum state preparation is used to load the corresponding distribution onto the states. We implement the expectation value of the option pricing formula as a composition of the price probabilities, the payout and an indicator function, mapping their respective values to amplitudes of additional qubits. Thus, the underlying no longer has to be discretized into the same bit values for different times, resulting in smaller quantum circuits. The algorithm may be used with quantum amplitude estimation, enabling a quadratic speed-up over classical Monte Carlo methods. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
|
|
Nepřihlášeným uživatelům se plný text nezobrazuje |
K zobrazení výsledku je třeba se přihlásit.
|
