VIX options traded on the CBOE have become popular volatility derivatives. As S&P500 vanilla options and VIX both depend on S&P500 volatility dynamics, it is important to understand the link between these products. In this paper, we bound VIX options from vanilla options and VIX futures. This...

We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equivalence between the pricing partial differential equation and the Schrodinger equation in imaginary time. We devise...