IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2308.04493.html
   My bibliography  Save this paper

Efficient option pricing with unary-based photonic computing chip and generative adversarial learning

Author

Listed:
  • Hui Zhang
  • Lingxiao Wan
  • Sergi Ramos-Calderer
  • Yuancheng Zhan
  • Wai-Keong Mok
  • Hong Cai
  • Feng Gao
  • Xianshu Luo
  • Guo-Qiang Lo
  • Leong Chuan Kwek
  • Jos'e Ignacio Latorre
  • Ai Qun Liu

Abstract

In the modern financial industry system, the structure of products has become more and more complex, and the bottleneck constraint of classical computing power has already restricted the development of the financial industry. Here, we present a photonic chip that implements the unary approach to European option pricing, in combination with the quantum amplitude estimation algorithm, to achieve a quadratic speedup compared to classical Monte Carlo methods. The circuit consists of three modules: a module loading the distribution of asset prices, a module computing the expected payoff, and a module performing the quantum amplitude estimation algorithm to introduce speed-ups. In the distribution module, a generative adversarial network is embedded for efficient learning and loading of asset distributions, which precisely capture the market trends. This work is a step forward in the development of specialized photonic processors for applications in finance, with the potential to improve the efficiency and quality of financial services.

Suggested Citation

  • Hui Zhang & Lingxiao Wan & Sergi Ramos-Calderer & Yuancheng Zhan & Wai-Keong Mok & Hong Cai & Feng Gao & Xianshu Luo & Guo-Qiang Lo & Leong Chuan Kwek & Jos'e Ignacio Latorre & Ai Qun Liu, 2023. "Efficient option pricing with unary-based photonic computing chip and generative adversarial learning," Papers 2308.04493, arXiv.org.
  • Handle: RePEc:arx:papers:2308.04493
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2308.04493
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2308.04493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.