Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).
Multilevel Monte Carlo methods for applications in finance
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.
fields
quant-ph 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Quantum Derivative Pricing for SPDEs via BDSDE Representation
Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).