Rainbow Option Pricing using Classiq Platform

[giacomoRanieri]

This work introduces a novel approach to price rainbow options, a type of path-independent multi-asset derivatives, with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, we present an end-to-end quantum circuit implementation, emphasizing efficiency by delaying the transition to price space. Moreover, we analyze two different amplitude loading techniques for handling exponential functions.

You can find all the relevant information within the research paper at this link

Thanks to the other authors:

• Francesca Cibrario,
• Or Samimi Golan,
• Emanuele Dri,
• Mattia Ippoliti,
• Ron Cohen,
• Christian Mattia,
• Bartolomeo Montrucchio,
• Amir Naveh,
• Davide Corbelletto

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[orsa-classiq]

Nice :) :)