SIAM Journal on Financial Mathematics, volume 12, issue 4, pages SC98-SC114
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance
Filipe Fontanela
,
Antoine Jacquier
,
Mugad Oumgari
Publication type: Journal Article
Publication date: 2021-10-12
scimago Q2
SJR: 0.822
CiteScore: 2.3
Impact factor: 1.4
ISSN: 1945497X
Applied Mathematics
Finance
Numerical Analysis
Abstract
We propose a hybrid quantum-classical algorithm, which originated from quantum chemistry, to price European and Asian options in the Black--Scholes model. Our approach is based on the equivalence b...
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