Quantum computational finance: Monte Carlo pricing of financial derivatives

Preprint English OPEN
Rebentrost, Patrick; Gupt, Brajesh; Bromley, Thomas R.;
(2018)
  • Related identifiers: doi: 10.1103/PhysRevA.98.022321
  • Subject: Quantum Physics
    arxiv: Computer Science::Databases | Computer Science::Computer Science and Game Theory

Financial derivatives are contracts that can have a complex payoff dependent upon underlying benchmark assets. In this work, we present a quantum algorithm for the Monte Carlo pricing of financial derivatives. We show how the relevant probability distributions can be pr... View more
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