End-to-End PDE-Based Quantum Algorithms for Multi-Asset Option Pricing under Local and Stochastic Volatility

Nikita Guseynov, Nana Liu, Chi Seng Pun and Tushar Vaidya

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Abstract: Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for European option pricing under local-volatility Black--Scholes and Heston models. The framework takes classical contract and model data as input and returns classical estimates of selected option values. We solve the pricing PDEs after finite-difference discretization on spatial grids. For $N=2^n$ grid points per spatial direction and $d$ assets, the end-to-end gate complexity for single-point recovery, counted in elementary CNOT gates and one-qubit Pauli-axis rotations, has leading grid-size dependence $\widetilde{O}(d^2 N^{2+d/2})$ for local-volatility Black--Scholes and $\widetilde{O}(d^2 N^{d+2})$ for Heston. Relative to grid-based finite-difference baselines, these scalings correspond to polynomial improvement factors $N^{d/2}$ and $N^d$, respectively. These estimates translate to Clifford+T resources via standard compilation. We complement the complexity analysis with numerical benchmarks against standard classical methods. In the Heston setting, the framework recovers option prices across strikes together with the associated implied-volatility smile/skew. Overall, this work provides a complete end-to-end quantum pricing pipeline with explicit resource accounting and theoretical performance guarantees.

Date: 2026-05
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