量子电路学习计算期权价格及其敏感性

Risk Management eJournal Pub Date : 2021-09-13 DOI:10.2139/ssrn.3922040

T. Sakuma

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引用次数: 1

摘要

将量子电路学习应用于期权价格及其灵敏度的计算。该方法的优点是选择合适的量子电路结构，可以通过应用参数移位规则解析计算灵敏度。我们期望我们的数值结果为使用量子机器学习进行期权定价铺平道路。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Quantum Circuit Learning to Compute Option Prices and Their Sensitivities

Quantum circuit learning is applied to computing option prices and their sensitivities. The advantage of this method is that a suitable choice of quantum circuit architecture makes it possible to compute the sensitivities analytically by applying parameter-shift rules. We expect our numerical result to pave the way for using quantum machine learning for option pricing.

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来源期刊

Risk Management eJournal

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