3 papers
quant-ph2026
Time series generation for option pricing on quantum computers using tensor network
Nozomu Kobayashi, Yoshiyuki Suimon, Koichi Miyamoto
Finance, especially option pricing, is a promising industrial field that might benefit from quantum computing. While quantum algorithms for option pricing have been proposed, it is…
q-fin.CP2025
Tensor train representations of Greeks for Fourier-based pricing of multi-asset options
Rihito Sakurai, Koichi Miyamoto, Tsuyoshi Okubo
Efficient computation of Greeks for multi-asset options remains a key challenge in quantitative finance. While Monte Carlo (MC) simulation is widely used, it suffers from the large…
q-fin.CP2025
Learning parameter dependence for Fourier-based option pricing with tensor trains
Rihito Sakurai, Haruto Takahashi, Koichi Miyamoto
A long-standing issue in mathematical finance is the speed-up of option pricing, especially for multi-asset options. A recent study has proposed to use tensor train learning algori…