Apply Deep Reinforcement Learning with Quantum Computing on the Pricing of American Options
Junzheng Yang
American options are important financial products traded in enormous volumes across the world. Therefore, accurate and efficient valuation is of paramount importance for global financial markets. Due to the early exercise feature, the pricing of American options is significantly more complicated than European options, and an analytical closed-form solution is unavailable even for simple dynamic models. Practitioners employ various valuation methods to strike the balance: accurate valuation usually suffers inefficiency, while fast valuation likely leads to inaccuracy. In this paper, we provide an innovative solution to address both the accuracy and efficiency issues of pricing American options by applying quantum reinforcement learning. Meanwhile, the quantum part of the new approach would potentially speed up the calculation dramatically.
International Conference on Internet Finance and Digital Economy (ICIFDE)•Aug 24, 2023•0 citations