A quantum Monte Carlo algorithm solves multidimensional Black-Scholes PDEs for option pricing with polynomial complexity in dimension d and accuracy 1/ε, with rigorous error bounds and a claimed speedup over classical Monte Carlo for bounded payoffs.
Solving high-dimensional partial differential equations using deep learning
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Quantum Monte Carlo algorithm for option pricing and its complexity analysis
A quantum Monte Carlo algorithm solves multidimensional Black-Scholes PDEs for option pricing with polynomial complexity in dimension d and accuracy 1/ε, with rigorous error bounds and a claimed speedup over classical Monte Carlo for bounded payoffs.