6 citations · 6 across the 3 of their papers we have counts for
3 papers · 1 filter
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…
Deep Curve-dependent PDEs for affine rough volatility
Antoine Jacquier, Mugad Oumgari
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent…
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…