3 papers
q-fin.CP2019
A Quantum algorithm for linear PDEs arising in Finance
Filipe Fontanela, Antoine Jacquier, Mugad Oumgari
We propose a hybrid quantum-classical algorithm, originated from quantum chemistry, to price European and Asian options in the Black-Scholes model. Our approach is based on the equ…
q-fin.PR2019
Dynamics of symmetric SSVI smiles and implied volatility bubbles
Mehdi El Amrani, Antoine Jacquier, Claude Martini
We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurre…
q-fin.CP2019
Stacked Monte Carlo for option pricing
Antoine Jacquier, Emma R. Malone, Mugad Oumgari
We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit…