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Quantum Amplitude Loading for Rainbow Options Pricing

Author

Listed:
  • Francesca Cibrario
  • Or Samimi Golan
  • Giacomo Ranieri
  • Emanuele Dri
  • Mattia Ippoliti
  • Ron Cohen
  • Christian Mattia
  • Bartolomeo Montrucchio
  • Amir Naveh
  • Davide Corbelletto

Abstract

This work introduces a novel approach to price rainbow options, a type of path-independent multi-asset derivatives, with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, we present an end-to-end quantum circuit implementation, emphasizing efficiency by delaying the transition to price space. Moreover, we analyze two different amplitude loading techniques for handling exponential functions. Experiments on the IBM QASM simulator validate our quantum pricing model, contributing to the evolving field of quantum finance.

Suggested Citation

  • Francesca Cibrario & Or Samimi Golan & Giacomo Ranieri & Emanuele Dri & Mattia Ippoliti & Ron Cohen & Christian Mattia & Bartolomeo Montrucchio & Amir Naveh & Davide Corbelletto, 2024. "Quantum Amplitude Loading for Rainbow Options Pricing," Papers 2402.05574, arXiv.org, revised Oct 2024.
    • Handle: RePEc:arx:papers:2402.05574
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    References listed on IDEAS

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    1. Shouvanik Chakrabarti & Rajiv Krishnakumar & Guglielmo Mazzola & Nikitas Stamatopoulos & Stefan Woerner & William J. Zeng, 2020. "A Threshold for Quantum Advantage in Derivative Pricing," Papers 2012.03819, arXiv.org, revised May 2021.
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