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Algorithm 1 Algorithmus 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 option pricing 1 quantum computing 1 tree methods 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Horsky, Roman 1 Koppe, Jonas 1 Wolf, Mark-Oliver 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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A quantum algorithm for pricing Asian options on valuation trees
Wolf, Mark-Oliver; Horsky, Roman; Koppe, Jonas - In: Risks : open access journal 10 (2022) 12, pp. 1-14
We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an underlying valuation tree. The paths of the tree are encoded in bit-representation into a qubit register, where quantum state preparation is used to load the corresponding...
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