量子计算金融用于不完整市场中的马丁盖尔资产定价
Patrick Rebentrost1, Alessandro Luongo2,3, Bin Cheng4
1Centre for Quantum Technologies, National University of Singapore, Singapore, Singapore. cqtfpr@nus.edu.sg.
Scientific reports
|August 15, 2024
概括
本研究介绍了用于金融衍生品定价的量子计算,从资产价格中提取市场指标. 量子算法为复杂的定价模型提供了潜在的加快速度,即使是在不完整的市场.
科学领域:
- 量化金融 量化金融
- 计算金融是指计算金融.
- 量子计算应用 量子计算应用
背景情况:
- 衍生品定价是复杂的,特别是许多资产或市场结果.
- 当前的方法可以是计算密集的.
- 现有的研究通常假设提供马丁盖尔测量.
研究的目的:
- 用量子技术解决的线性代数问题来制定衍生定价.
- 从市场数据中提取马丁盖尔指标,模仿金融启动.
- 探索量子算法,以实现高效且潜在更快的衍生品定价.
主要方法:
- 在线性代数框架中对衍生品定价的制定.
- 量子线性编程和量子线性系统算法的应用.
- 使用类似于引导的技术提取马丁盖尔测量.
- 量子零和游戏和量子简单算法的研究.
- 对于量子线性系统的解决者来说,一个新的市场假设的正式化.
主要成果:
- 证明了使用量子算法可以解决衍生品定价问题.
- 展示了从市场变量中提取马丁盖尔指标的方法.
- 在新的市场假设下,鉴定了量子线性系统解决器具有显著加快速度的潜力.
- 通过Black-Scholes-Merton模型进行数值实验.
结论:
- 量子计算为计算要求高的衍生品定价提供了一个有前途的途径.
- 提议的提取马丁盖尔措施的方法对金融机构来说是实用的.
- 新的市场假设可以在量子衍生品定价中释放显著的绩效收益.
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