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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…
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…
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…