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q-fin.CP2026
Quantum computing for multidimensional option pricing: End-to-end pipeline
Julien Hok, Álvaro Leitao
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integra…
q-fin.CP2022
The importance of being scrambled: supercharged Quasi Monte Carlo
J. Hok, S. Kucherenko
In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, u…
q-fin.CP2021
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…