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Paper / 2026SMQ / 81355116515062
Quantum Speedups for Derivative Pricing Beyond Black-Scholes
Aram Harrow / Charlie Che / Dylan Herman / Jin-Peng Liu / Marco Pistoia / Rob Otter / Shouvanik Chakrabarti / Yue Sun
derivatives / monte carlo simulationResource overview

Quantum Speedups for Derivative Pricing Beyond Black-Scholes

Paper2026

by Aram Harrow, Charlie Che, Dylan Herman, Jin-Peng Liu, Marco Pistoia, Rob Otter, Shouvanik Chakrabarti, Yue Sun

Tags
derivativesmonte carlo simulationnumerical methodsoption pricingstochastic differential equations

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Understand this paper

Suggested foundations for options and derivatives pricing and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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Aram Harrow, Charlie Che, Dylan Herman, Jin-Peng Liu, Marco Pistoia, Rob Otter, Shouvanik Chakrabarti, Yue Sun

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