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Structure-Aware Variational State Preparation for Quantum Basket Option Pricing

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  • Dongwoo Kim
  • Zhenyu Cui
  • Daniel K. Park
  • Chihoon Lee

Abstract

Basket option pricing often relies on Monte Carlo estimation, for which quantum amplitude estimation (QAE) provides a quadratic speed-up. However, the practical benefit of QAE can be limited by the depth of the state-preparation circuit. We propose a structure-aware quantum state-preparation framework for QAE-based basket option pricing. The framework uses tensor-train (TT) rank information to design shallow variational state-preparation circuits. In the independent regime, TT ranks remove unnecessary entangling links from a hardware-efficient ansatz. In correlated basket settings, we instead prepare asset-wise marginals locally and train a compact latent block to match the basket cumulative distribution function. The Basket-CDF objective targets the basket pushforward distribution rather than the full joint state, directly aligning state preparation with basket-dependent payoffs. Numerical experiments show that the proposed circuits replace the exponential state-preparation depth scaling of exact amplitude loading with linear scaling, while maintaining low-percent basket-pricing errors. Additional sampling-based training experiments and an end-to-end QAE integration study support compatibility with sample-estimated training and standard QAE-based pricing workflows.

Suggested Citation

  • Dongwoo Kim & Zhenyu Cui & Daniel K. Park & Chihoon Lee, 2026. "Structure-Aware Variational State Preparation for Quantum Basket Option Pricing," Papers 2607.14518, arXiv.org.
  • Handle: RePEc:arx:papers:2607.14518
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    References listed on IDEAS

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