Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance
Filipe Fontanela, Antoine Jacquier, Mugad Oumgari · SIAM Journal on Financial Mathematics · 2021
We propose a hybrid quantum-classical algorithm, which originated from quantum chemistry, to price European and Asian options in the Black--Scholes model. Our approach is based on the equivalence between the pricing PDE and the Schrödinger equation in imaginary time. We devise a strategy to build a shallow quantum circuit approximation to this equation with only a few qubits. This constitutes a promising candidate for the application of quantum computing (with large number of qubits affected by noise) to finance.