Option pricing using quantum computers

Researchers from J.P. Morgan, IBM Research, and ETH Zurich present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.

The options covered include vanilla options, multi-asset options and path-dependent options such as barrier options. Researchers put an emphasis on the implementation of the quantum circuits required to build the input states and operators needed by amplitude estimation to price the different option types. Additionally, they show simulation results to highlight how the implemented circuits price the different option contracts. Finally, they examine the performance of option pricing circuits on real quantum hardware using the IBM Q Tokyo quantum device.

Read the full paper

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