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Quantum computational finance for martingale asset pricing in incomplete markets [PDF]
Scientific ReportsA derivative is a financial asset whose future payoff is a function of underlying assets. Pricing a financial derivative involves setting up a market model, finding a martingale (“fair game”) probability measure for the model from the existing asset ...
Patrick Rebentrost +4 more
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A Threshold for Quantum Advantage in Derivative Pricing [PDF]
Quantum, 2021 We give an upper bound on the resources required for valuable quantum advantage in pricing derivatives. To do so, we give the first complete resource estimates for useful quantum derivative pricing, using autocallable and Target Accrual Redemption ...
Shouvanik Chakrabarti +5 more
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Pricing Multi-Asset Derivatives by Finite-Difference Method on a Quantum Computer
IEEE Transactions on Quantum Engineering, 2022 Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance.
Koichi Miyamoto, Kenji Kubo
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An Asymptotic Solution for Call Options on Zero-Coupon Bonds
Mathematics, 2021 We present an asymptotic solution for call options on zero-coupon bonds, assuming a stochastic process for the price of the bond, rather than for interest rates in general.
Michael J. Tomas, Jun Yu
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Pricing Weather Derivatives [PDF]
American Journal of Agricultural Economics, 2004 This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options.
Richards, Timothy J. +5 more
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Risks, 2022 In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process.
Piergiacomo Sabino
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PRICING PRECIPITATION BASED DERIVATIVES [PDF]
International Journal of Theoretical and Applied Finance, 2005 We consider the problem of pricing a derivative contract written on precipitation at a specific location during a given period of time. We propose a jump Markov process model for the stochastic dynamics of the underlying precipitation. Our model is based on pulse Poisson process models widely used in hydrology.
RENÉ CARMONA, PAVEL DIKO
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Pricing Path-Independent Payoffs with Exotic Features in the Fractional Diffusion Model
Fractal and Fractional, 2020 We provide several practical formulas for pricing path-independent exotic instruments (log options and log contracts, digital options, gap options, power options with or without capped payoffs …) in the context of the fractional diffusion model.
Jean-Philippe Aguilar
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An Optimal Adaptive Control Strategy for Energy Balancing in Smart Microgrid Using Dynamic Pricing
IEEE Access, 2022 Energy balancing in smart microgrid plays a vital role to improve the reliability and resolves the load shedding problem to ensure consistent energy supply.
Fahad R. Albogamy +7 more
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Pricing Multiasset Derivatives by Variational Quantum Algorithms
IEEE Transactions on Quantum Engineering, 2023 Pricing a multiasset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of derivatives, the
Kenji Kubo +3 more
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