Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing

DOI10.1080/14697688.2023.2259954arXiv2207.10838OpenAlexW4387169617MaRDI QIDQ6127404

Asaf Cohen, Chuhao Sun, Shravan Kumar Veerapaneni, Unnamed Author, James Stokes

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.10838

zbMATH Keywords

variational quantum algorithms variational quantum Monte Carlo multi-asset Black-Scholes PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30) Quantum algorithms and complexity in the theory of computing (68Q12)

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