Quantum computational finance: Monte Carlo pricing of financial derivatives

Preprint English OPEN
Rebentrost, Patrick; Gupt, Brajesh; Bromley, Thomas R.;
  • 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
  • References (40)
    40 references, page 1 of 4

    [1] J. C. Hull, Options, futures, and other derivatives (Prentice Hall, 2012).

    [2] S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models (Springer-Verlag, 2004).

    [3] H. Follmer and A. Schied, Stochastic Finance: An Introduction in Discrete Time (Walter de Gruyter, 2004).

    [4] F. Black and M. Scholes, Journal of Political Economy 81, 637 (1973).

    [5] R. C. Merton, The Bell Journal of Economics and Management Science 4, 141 (1973).

    [6] R. Eckhardt, Los Alamos Science 15, 30 (1987).

    [7] P. Glasserman, Monte Carlo Methods in Financial Engineering (Springer-Verlag, 2003).

    [8] L. K. Grover, in STOC 96 Proceedings of the 28th Annual ACM Symposium on the Theory of Computing (ACM, New York, 1996), pp. 212{219.

    [9] C. Durr and P. Hoyer, arXiv preprint quant-ph/9607014 (1996).

    [10] G. Brassard, P. Hoyer, M. Mosca, and A. Tapp, Contemporary Mathematics 305, 53 (2002).

  • Related Organizations (1)
  • Metrics
Share - Bookmark