Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance

DOI10.1137/21M1397878zbMath1476.91183arXiv1912.02753OpenAlexW3205257029WikidataQ114074093 ScholiaQ114074093MaRDI QIDQ5162857

Filipe Fontanela, Antoine Jacquier, Mugad Oumgari

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.02753

zbMATH Keywords

PDEoption pricingquantum algorithmsSchrödinger equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with quantum mechanics (35Q40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Quantum algorithms and complexity in the theory of computing (68Q12)

Related Items (1)

Extracting a function encoded in amplitudes of a quantum state by tensor network and orthogonal function expansion

Uses Software

• qWGAN

Cites Work

• The Pricing of Options and Corporate Liabilities
• The computer as a physical system: a microscopic quantum mechanical Hamiltonian model of computers as represented by Turing machines
• Neural networks-based backward scheme for fully nonlinear PDEs
• Machine learning for semi linear PDEs
• Quantum speedup of Monte Carlo integration with respect to the number of dimensions and its application to finance
• Quantum theory, the Church–Turing principle and the universal quantum computer
• The value of an Asian option
• Solving high-dimensional partial differential equations using deep learning
• Deep hedging

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