Quantum algorithms for pricing derivatives


Event details

Date 29.11.2023
Hour 15:1516:15
Speaker Alessandro Luongo (https://www.quantumlah.org/people/profile/L-Alessandro)
Category Conferences - Seminars
Event Language English
Computational Mathematics Seminar
We present new quantum algorithms for pricing financial derivatives in both single-period and multi-period financial markets. In the context of single-period markets we introduce three distinct algorithms. The initial two methods leverage a linear program-based formulation of the pricing problem, employing the quantum zero-sum game algorithm and the quantum simplex algorithm as essential subroutines. The third algorithm introduces a novel market assumption, which, while less stringent than market completeness (which is a standard assumption in many market models), enables the application of quantum linear systems solvers, potentially leading to significant speedups.  For multi period markets we discuss a quantum version for the famous least-squares Monte Carlo (LSM) algorithm. Our algorithm achieves a nearly quadratic speedup in the runtime compared to the LSM algorithm under some mild assumptions. Our quantum algorithm can be applied to American option pricing, and we analyze a case study for the common situation of Brownian motion and geometric Brownian motion processes. Based on: https://arxiv.org/abs/2111.15332 and https://arxiv.org/abs/2209.08867 .

Practical information

  • General public
  • Free


  • Bernard Kapidani


  • Bernard Kapidani

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