Option Pricing using Quantum Computers
We present a methodology to price options and portfolios of options on a
gate-based quantum computer using amplitude estimation, an algorithm which
provides a quadratic speedup compared to classical Monte Carlo methods. The
options that we cover include vanilla options, multi-asset options and
path-dependent options such as barrier options. We put an emphasis on the
implementation of the quantum circuits required to build the input states and
operators needed by amplitude estimation to price the different option types.
Additionally, we show simulation results to highlight how the circuits that we
implement price the different option contracts. Finally, we examine the
performance of option pricing circuits on quantum hardware using the IBM Q
Tokyo quantum device. We employ a simple, yet effective, error mitigation
scheme that allows us to significantly reduce the errors arising from noisy
two-qubit gates.
Nikitas Stamatopoulos Daniel J. Egger Yue Sun Christa Zoufal Raban Iten Ning Shen Stefan Woerner