Wolf, Mark-Oliver; Horsky, Roman; Koppe, Jonas - In: Risks : open access journal 10 (2022) 12, pp. 1-14
We develop a novel quantum algorithm for approximating the price of a discrete floating-strike Asian option based on an … underlying valuation tree. The paths of the tree are encoded in bit-representation into a qubit register, where quantum state … different times, resulting in smaller quantum circuits. The algorithm may be used with quantum amplitude estimation, enabling a …