Hermitian block embedding enables GQSP to implement the inverse of a non-Hermitian time-step matrix from 2D Black-Scholes finite-difference discretisation, with numerical results for two-asset calls matching classical backward-Euler polynomial approximation.
Kim et al., ‘A practical finite difference method for the three-dimensional black–scholes equation,’European Journal of Operational Research, vol
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Solving 2D Black Scholes Equation via Hermitian Block Embedding and Generalised Quantum Signal Processing
Hermitian block embedding enables GQSP to implement the inverse of a non-Hermitian time-step matrix from 2D Black-Scholes finite-difference discretisation, with numerical results for two-asset calls matching classical backward-Euler polynomial approximation.