Option Pricing using Quantum Computers

• DOI: 10.22331/q-2020-07-06-291
• Publication Date: 2020-07-06T15:49:54Z
• Authors: Nikitas Stamatopo...; Daniel J. Egger; Yue Sun; Christa Zoufal; Raban Iten; Ning Shen; Stefan Woerner
• Keywords: Speedup; Exotic option; IBM; Quantum circuit

We present a methodology to price options and portfolios of on gate-based quantum computer using amplitude estimation, an algorithm which provides quadratic speedup compared classical Monte Carlo methods. The that we cover include vanilla options, multi-asset path-dependent such as barrier options. put emphasis the implementation circuits required build input states operators needed by estimation different option types. Additionally, show simulation results highlight how implement contracts. Finally, examine performance pricing hardware IBM Q Tokyo device. employ simple, yet effective, error mitigation scheme allows us significantly reduce errors arising from noisy two-qubit gates.