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Price rainbow options — a type of path-independent multi-asset derivative — on a quantum computer. Cibrario, Samimi Golan, Ranieri, Dri, Ippoliti, Cohen, Mattia, Montrucchio, Naveh and Corbelletto introduce what the abstract calls a novel approach to pricing rainbow options — a type of path-independent multi-asset derivative — with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, they present an end-to-end quantum circuit implementation, and say they emphasize efficiency by delaying the transition to price space. They also analyze two different amplitude-loading techniques for handling exponential functions. The authors validate their quantum pricing model with experiments on the IBM QASM simulator, which the abstract frames as a contribution to the evolving field of quantum finance. The abstract does not describe the circuit's cost or the two amplitude-loading techniques beyond naming them, and it does not state the size of the simulated instances or the accuracy the validation achieved.
Circuit & simulation
problem
encodetransform
algorithm
transformmeasure
readout
measure
What this takes and returns
TakesNothingWhat joins here
No input port at this edge: the record publishes no gate sequence and no register, so there is nothing here to read one off — and unlike a declared hole, nothing has been recorded about what belongs here.
Nothing in the Atlas meets this end.
ReturnsNothingWhat joins here
No output port at this edge: the record publishes no gate sequence and no register, so there is nothing here to read one off — and unlike a declared hole, nothing has been recorded about what belongs here.
Nothing in the Atlas meets this end.
This record publishes no gate sequence and no register, so there is nothing here to read an interface off. Absent rather than empty. See all 152 →
How it works
Cibrario, Samimi Golan, Ranieri, Dri, Ippoliti, Cohen, Mattia, Montrucchio, Naveh and Corbelletto introduce what the abstract calls a novel approach to pricing rainbow options — a type of path-independent multi-asset derivative — with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, they present an end-to-end quantum circuit implementation, and say they emphasize efficiency by delaying the transition to price space. They also analyze two different amplitude-loading techniques for handling exponential functions. The authors validate their quantum pricing model with experiments on the IBM QASM simulator, which the abstract frames as a contribution to the evolving field of quantum finance. The abstract does not describe the circuit's cost or the two amplitude-loading techniques beyond naming them, and it does not state the size of the simulated instances or the accuracy the validation achieved. The Classiq library carries this subject under applications · finance. The sources read state no complexity bound for this record (The abstract of arXiv:2402.05574, the only source read for this record, states no complexity bound: no big-O expression, no qubit or gate count, and no run time. What it states is a method and a validation. The method: "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." and "Moreover, we analyze two different amplitude loading techniques for handling exponential functions." The validation: "Experiments on the IBM QASM simulator validate our quantum pricing model, contributing to the evolving field of quantum finance." The Classiq index entry this record covers, applications/finance/rainbow_options, gives a directory path and a file list and states no bound either. The field is therefore left empty on purpose rather than filled with a bound written from memory.).
Implementation
Unsupported
rainbow-options-amplitude-loading.txt
ALGORITHM: Quantum amplitude loading for rainbow options pricing
PROBLEM: Price rainbow options — a type of path-independent multi-asset derivative — on a quantum computer.
IDEA: Cibrario, Samimi Golan, Ranieri, Dri, Ippoliti, Cohen, Mattia, Montrucchio, Naveh and Corbelletto introduce what the abstract calls a novel approach to pricing rainbow options — a type of path-independent multi-asset derivative — with quantum computers. Leveraging the Iterative Quantum Amplitude Estimation method, they present an end-to-end quantum circuit implementation, and say they emphasize efficiency by delaying the transition to price space. They also analyze two different amplitude-loading techniques for handling exponential functions. The authors validate their quantum pricing model with experiments on the IBM QASM simulator, which the abstract frames as a contribution to the evolving field of quantum finance. The abstract does not describe the circuit's cost or the two amplitude-loading techniques beyond naming them, and it does not state the size of the simulated instances or the accuracy the validation achieved.
REPORTED COST: Not stated by the sources read
BASIS: The abstract of arXiv:2402.05574, the only source read for this record, states no complexity bound: no big-O expression, no qubit or gate count, and no run time. What it states is a method and a validation. The method: "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." and "Moreover, we analyze two different amplitude loading techniques for handling exponential functions." The validation: "Experiments on the IBM QASM simulator validate our quantum pricing model, contributing to the evolving field of quantum finance." The Classiq index entry this record covers, applications/finance/rainbow_options, gives a directory path and a file list and states no bound either. The field is therefore left empty on purpose rather than filled with a bound written from memory.
DEMONSTRATED BY: the Classiq library entry applications/finance/rainbow_options
PRIMARY SOURCE: Francesca Cibrario, Or Samimi Golan, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto (2024), Quantum Amplitude Loading for Rainbow Options Pricing — https://arxiv.org/abs/2402.05574
This is a literature reference record, not an executable circuit.
A reference record, not runnable source. Leona cannot execute it, so it cannot be saved to your Library as a circuit.
Quantum vs classical
Classical baseline
Compare Amplitude estimation with the strongest classical method for the same instance, input budget, and output metric.
Quantum claim
This reference exposes a quantum circuit pattern; it does not imply an application-level speedup without a matched benchmark.
How to compare
Report input loading, circuit depth, repetitions, classical preprocessing, post-processing, and wall-clock time together.
Declared gaps
Nobody has reviewed this record for gaps yet.
Literature & references
Quantum Amplitude Loading for Rainbow Options Pricing2024 · Francesca Cibrario, Or Samimi Golan, Giacomo Ranieri, Emanuele Dri, Mattia Ippoliti, Ron Cohen, Christian Mattia, Bartolomeo Montrucchio, Amir Naveh, Davide Corbelletto
Primary source: it introduces the amplitude-loading approach to pricing rainbow options, describes the end-to-end quantum circuit built on Iterative Quantum Amplitude Estimation, names the two amplitude-loading techniques for exponential functions it analyzes, and reports validating the model with experiments on the IBM QASM simulator. Consult it for the circuit's cost, for how the two amplitude-loading techniques compare, and for the size and precision of the simulated instances, none of which the abstract states.