Pricing multi-asset derivatives by finite difference method on a quantum computer

@article{Miyamoto2021PricingMD,
  title={Pricing multi-asset derivatives by finite difference method on a quantum computer},
  author={Koichi Miyamoto and Kenji Kubo},
  journal={IEEE Transactions on Quantum Engineering},
  year={2021}
}
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial differential equation by finite difference method (FDM), which is a suitable approach for some types of derivatives but suffers from the curse of dimensionality, that is, exponential growth of complexity in the case of multiple underlying assets. We propose a… Expand

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