A Quantum algorithm for linear PDEs arising in Finance

Filipe Fontanela, Antoine Jacquier and Mugad Oumgari

Papers from arXiv.org

Abstract: We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equivalence between the pricing partial differential equation and the Schrodinger equation in imaginary time. We devise a strategy to build a shallow quantum circuit approximation to this equation, only requiring few qubits. This constitutes a promising candidate for the application of Quantum Computing techniques (with large number of qubits affected by noise) in Quantitative Finance.

Date: 2019-12, Revised 2021-02
New Economics Papers: this item is included in nep-cmp and nep-sea
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Citations: View citations in EconPapers (6)

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