Pricing Asian Options on a Quantum Computer

ORAL

Abstract

In this work, we present a quantum algorithm designed to address the challenge of solving differential equations used in the pricing of Asian options, with a particular focus on the Black-Scholes model. Here, we devised a new method where we improve upon scaling factors over classical methods

*This work was done in support by Fujitsu Research America

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Presenters

  • Gumaro Rendon

    • Fujitsu Research of America

Authors

  • Gumaro Rendon

    • Fujitsu Research of America

  • Rutuja Kshirsagar

    • Fujitsu Research of America
    • Fujitsu Research of America, Inc.

  • Quoc Hoan Tran

    • Fujitsu Research