Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).
A regression-based Monte Carlo method to solve backward stochastic differential equations
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abstract
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential interest rates.
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quant-ph 1years
2026 1verdicts
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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}).