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
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Presenters
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Gumaro Rendon
Fujitsu Research of America
Authors
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Gumaro Rendon
Fujitsu Research of America
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Rutuja Kshirsagar
Fujitsu Research of America, Fujitsu Research of America, Inc.
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Quoc Hoan Tran
Fujitsu Research