• Corpus ID: 231583274

Quantum option pricing using Wick rotated imaginary time evolution

@article{Radha2021QuantumOP,
  title={Quantum option pricing using Wick rotated imaginary time evolution},
  author={Santosh Kumar Radha},
  journal={Research Papers in Economics},
  year={2021}
}
In this paper we reformulate the problem of pricing options in a quantum setting. Our proposed algorithm involves preparing an initial state, representing the option price, and then evolving it using existing imaginary time simulation algorithms. This way of pricing options boils down to mapping an initial option price to a quantum state and then simulating the time dependence in Wick's imaginary time space. We numerically verify our algorithm for European options using a particular imaginary… 

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