دسته بندی:

محاسبات کوانتومی - Quantum-Computing

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سال انتشار:

2022

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عنوان انگلیسی مقاله:

Pricing Multi-Asset Derivatives by Finite-Difference Method on a Quantum Computer

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ترجمه فارسی عنوان مقاله:

قیمت گذاری مشتقات چند دارایی با روش تفاضل محدود در یک کامپیوتر کوانتومی

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منبع:

ieee - ieee Transactions on Quantum Engineering;2022;3; ;10:1109/TQE:2021:3128643

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نویسنده:

KOICHI MIYAMOTO AND KENJI KUBO2

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چکیده انگلیسی:

Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this article, we focus on derivative pricing based on solving the Black–Scholes partial differential equation by the finite-difference method (FDM), which is a suitable approach for some types of derivatives but suffers from the curse of dimensionality, that is, exponential growth of complexity in the case of multiple underlying assets. We propose a quantum algorithm for FDM-based pricing of multi-asset derivative with exponential speedup with respect to dimensionality compared with classical algorithms. The proposed algorithm utilizes the quantum algorithm for solving differential equations, which is based on quantum linear system algorithms. Addressing the specific issue in derivative pricing, that is, extracting the derivative price for the present underlying asset prices from the output state of the quantum algorithm, we present the whole of the calculation process and estimate its complexity. We believe that the proposed method opens the new possibility of accurate and high-speed derivative pricing by quantum computers.
INDEX TERMS: Derivative pricing | finite-difference methods (FDMs) | quantum computing.

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قیمت: رایگان

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توضیحات اضافی:

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