Efficient Hamiltonian simulation for solving option price dynamics
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest rates are assumed is governed by the Black-Scholes model, a...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
American Physical Society
2023-12-01
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| Series: | Physical Review Research |
| Online Access: | http://doi.org/10.1103/PhysRevResearch.5.043220 |