{"created":"2025-01-19T01:18:07.705203+00:00","updated":"2025-01-19T15:25:59.005417+00:00","metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00217639","sets":["1164:10193:10905:10906"]},"path":["10906"],"owner":"44499","recid":"217639","title":["Pricing multi-asset derivatives by finite difference method on a quantum computer"],"pubdate":{"attribute_name":"公開日","attribute_value":"2022-03-17"},"_buckets":{"deposit":"c4fe91d0-c887-435a-aa5f-12f5f2d45ec5"},"_deposit":{"id":"217639","pid":{"type":"depid","value":"217639","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"Pricing multi-asset derivatives by finite difference method on a quantum computer","author_link":["564230","564228","564227","564229"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Pricing multi-asset derivatives by finite difference method on a quantum computer"},{"subitem_title":"Pricing multi-asset derivatives by finite difference method on a quantum computer","subitem_title_language":"en"}]},"item_type_id":"4","publish_date":"2022-03-17","item_4_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Center for Quantum Information and Quantum Biology, Osaka University"},{"subitem_text_value":"R4D, Mercari Inc.／Graduate School of Engineering Science, Osaka University"}]},"item_4_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Center for Quantum Information and Quantum Biology, Osaka University","subitem_text_language":"en"},{"subitem_text_value":"R4D, Mercari Inc. / Graduate School of Engineering Science, Osaka University","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/217639/files/IPSJ-QS22005017.pdf","label":"IPSJ-QS22005017.pdf"},"date":[{"dateType":"Available","dateValue":"2024-03-17"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-QS22005017.pdf","filesize":[{"value":"729.3 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"53"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"086f64b8-54e2-4185-9624-e179c4624789","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2022 by the Information Processing Society of Japan"}]},"item_4_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Koichi, Miyamoto"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Kenji, Kubo"}],"nameIdentifiers":[{}]}]},"item_4_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Koichi, Miyamoto","creatorNameLang":"en"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Kenji, Kubo","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_4_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA12894105","subitem_source_identifier_type":"NCID"}]},"item_4_textarea_12":{"attribute_name":"Notice","attribute_value_mlt":[{"subitem_textarea_value":"SIG Technical Reports are nonrefereed and hence may later appear in any journals, conferences, symposia, etc."}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_18gh","resourcetype":"technical report"}]},"item_4_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"2435-6492","subitem_source_identifier_type":"ISSN"}]},"item_4_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial differential equation by finite difference method (FDM), which is a suitable approach for some types of derivatives but suffers from the curse of dimensionality, that is, exponential growth of complexity in the case of multiple underlying assets. We propose a quantum algorithm for FDM-based pricing of multi-asset derivative with exponential speedup with respect to dimensionality compared with classical algorithms. The proposed algorithm utilizes the quantum algorithm for solving differential equations, which is based on quantum linear system algorithms. Addressing the specific issue in derivative pricing, that is, extracting the derivative price for the present underlying asset prices from the output state of the quantum algorithm, we present the whole of the calculation process and estimate its complexity. We believe that the proposed method opens the new possibility of accurate and high-speed derivative pricing by quantum computers.","subitem_description_type":"Other"}]},"item_4_description_8":{"attribute_name":"論文抄録(英)","attribute_value_mlt":[{"subitem_description":"Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial differential equation by finite difference method (FDM), which is a suitable approach for some types of derivatives but suffers from the curse of dimensionality, that is, exponential growth of complexity in the case of multiple underlying assets. We propose a quantum algorithm for FDM-based pricing of multi-asset derivative with exponential speedup with respect to dimensionality compared with classical algorithms. The proposed algorithm utilizes the quantum algorithm for solving differential equations, which is based on quantum linear system algorithms. Addressing the specific issue in derivative pricing, that is, extracting the derivative price for the present underlying asset prices from the output state of the quantum algorithm, we present the whole of the calculation process and estimate its complexity. We believe that the proposed method opens the new possibility of accurate and high-speed derivative pricing by quantum computers.","subitem_description_type":"Other"}]},"item_4_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"10","bibliographic_titles":[{"bibliographic_title":"量子ソフトウェア（QS）"}],"bibliographicPageStart":"1","bibliographicIssueDates":{"bibliographicIssueDate":"2022-03-17","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"17","bibliographicVolumeNumber":"2022-QS-5"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"id":217639,"links":{}}