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arXiv · 2605.28950

Exponentially Fast Solution State Preparation for the Heat Equation and its use for Option Pricing

Gumaro Rendon·Stepan Smid·Sarvagya Upadhyay
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Abstract

In this work, we present the methods necessary to price an important set of derivatives on a quantum device while offering an advantage over existing classical methods. The methods developed here, in conjunction with ~\cite{GumaroS2026}, also provide an exponential advantage in requirement of qubits when pricing some option contracts with path-dependent payoff compared to state-of-the-art quantum Monte Carlo methods.

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Gumaro Rendon, Stepan Smid, Sarvagya Upadhyay. 2026-05-27. Exponentially Fast Solution State Preparation for the Heat Equation and its use for Option Pricing. https://arxiv.org/abs/2605.28950

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