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Asian Review of Financial Research, Vol., No..
pp.460~468
pp.460~468
Quantum Computers and Option Pricing
Myeongsu Choi Hanyang University Business School
Jung-Yong Lee Korea Developement Bank
Hyoung-Goo Kang Hanyang University Business School
We compare quantum Monte Carlo with classic Monte Carlo methods in pricing vanilla options. The quantum Monte Carlo method was performed on a quantum computer using amplitude estimation, an algorithm that provides excellent convergence rates. We find that quantum simulations can achieve stability in computing price and sensitivity. Furthermore, the quantum Monte Carlo method is superior to classical ones in convergence speed and stability.
Myeongsu Choi
Jung-Yong Lee
Hyoung-Goo Kang
We compare quantum Monte Carlo with classic Monte Carlo methods in pricing vanilla options. The quantum Monte Carlo method was performed on a quantum computer using amplitude estimation, an algorithm that provides excellent convergence rates. We find that quantum simulations can achieve stability in computing price and sensitivity. Furthermore, the quantum Monte Carlo method is superior to classical ones in convergence speed and stability.
Quantum option pricing,Quantum Monte Carlo,Quantum Simulation,Quantum finance,Quantum asset pricing.