Exponentially Fast Solution State Preparation for the Heat Equation and its use for Option Pricing

Abstract

In this work, we present the methods necessary to price an important set of derivatives on a quantum device while offering an advantage over existing classical methods. The methods developed here, in conjunction with ~\cite{GumaroS2026}, also provide an exponential advantage in requirement of qubits when pricing some option contracts with path-dependent payoff compared to state-of-the-art quantum Monte Carlo methods.