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quant-ph2024
Quantum option pricing via the Karhunen-Loève expansion
Anupam Prakash, Yue Sun, Shouvanik Chakrabarti +8
We consider the problem of pricing discretely monitored Asian options over monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide tw…
quant-ph2023
A quantum spectral method for simulating stochastic processes, with applications to Monte Carlo
Adam Bouland, Aditi Dandapani, Anupam Prakash
Stochastic processes play a fundamental role in physics, mathematics, engineering and finance. One potential application of quantum computation is to better approximate properties…