Structure-Aware Variational State Preparation for Quantum Basket Option Pricing

Dongwoo Kim, Zhenyu Cui, Daniel K. Park and Chihoon Lee

Papers from arXiv.org

Abstract: Basket option pricing often relies on Monte Carlo estimation, for which quantum amplitude estimation (QAE) provides a quadratic speed-up. However, the practical benefit of QAE can be limited by the depth of the state-preparation circuit. We propose a structure-aware quantum state-preparation framework for QAE-based basket option pricing. The framework uses tensor-train (TT) rank information to design shallow variational state-preparation circuits. In the independent regime, TT ranks remove unnecessary entangling links from a hardware-efficient ansatz. In correlated basket settings, we instead prepare asset-wise marginals locally and train a compact latent block to match the basket cumulative distribution function. The Basket-CDF objective targets the basket pushforward distribution rather than the full joint state, directly aligning state preparation with basket-dependent payoffs. Numerical experiments show that the proposed circuits replace the exponential state-preparation depth scaling of exact amplitude loading with linear scaling, while maintaining low-percent basket-pricing errors. Additional sampling-based training experiments and an end-to-end QAE integration study support compatibility with sample-estimated training and standard QAE-based pricing workflows.

Date: 2026-07
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