A Threshold for Quantum Advantage in Derivative Pricing

Shouvanik Chakrabarti, Rajiv Krishnakumar, Guglielmo Mazzola, Nikitas Stamatopoulos, Stefan Woerner and William J. Zeng

Papers from arXiv.org

Abstract: We give an upper bound on the resources required for valuable quantum advantage in pricing derivatives. To do so, we give the first complete resource estimates for useful quantum derivative pricing, using autocallable and Target Accrual Redemption Forward (TARF) derivatives as benchmark use cases. We uncover blocking challenges in known approaches and introduce a new method for quantum derivative pricing - the re-parameterization method - that avoids them. This method combines pre-trained variational circuits with fault-tolerant quantum computing to dramatically reduce resource requirements. We find that the benchmark use cases we examine require 8k logical qubits and a T-depth of 54 million. We estimate that quantum advantage would require executing this program at the order of a second. While the resource requirements given here are out of reach of current systems, we hope they will provide a roadmap for further improvements in algorithms, implementations, and planned hardware architectures.

Date: 2020-12, Revised 2021-05
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Published in Quantum 5, 463 (2021)

Downloads: (external link)
http://arxiv.org/pdf/2012.03819 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2012.03819

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().