# Pricing multi-asset derivatives by variational quantum algorithms

@inproceedings{Kubo2022PricingMD, title={Pricing multi-asset derivatives by variational quantum algorithms}, author={Kenji Kubo and Koichi Miyamoto and Kosuke Mitarai and Keisuke Fujii}, year={2022} }

Pricing a multi-asset derivative is an important problem in ﬁnancial engineering, both theoretically and practically. Although it is suitable to numerically solve partial diﬀerential equations to calculate the prices of certain types of derivatives, the computational complexity increases exponentially as the number of underlying assets increases in some classical methods, such as the ﬁnite diﬀerence method. Therefore, there are eﬀorts to reduce the computational complexity by using quantum…

## 2 Citations

### Quantum computing for financial risk measurement

- Computer ScienceQuantum Information Processing
- 2023

Overall, given the maturity of established classical simulation-based approaches that allow risk computations in reasonable time and with sufficient accuracy, the business case for a move to quantum solutions is not very strong at this point.

### Quantum Monte Carlo algorithm for solving Black-Scholes PDEs for high-dimensional option pricing in finance and its proof of overcoming the curse of dimensionality

- Computer Science
- 2023

It is proved that the computational complexity of the quantum Monte Carlo algorithm is bounded polynomially in the space dimension d of the PDE and the reciprocal of the prescribed accuracy ε and so demonstrate that the algorithm does not suffer from the curse of dimensionality.

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