All Posts With Tag: finance
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Quantum amplitude estimation promises a quadratic speedup over classical Monte Carlo for pricing financial derivatives, but that query-complexity result excludes variance reduction and oracle implementation costs. Testing European and arithmetic Asian calls, the control variate changes the classical baseline sharply while even small path-dependent quantum oracles become deep.
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Notes from 'Monte Carlo Methods in Financial Engineering' by Paul Glasserman. These Notes are subject to be constantly updated as I read through more of the textbook.