Bermudan option pricing by quantum amplitude estimation and Chebyshev interpolation

Understand

Pricing of financial derivatives, in particular early exercisable options such as Bermudan options, is an important but heavy numerical task in financial institutions, and its speed-up will provide a large business impact.

• Recently, applications of quantum computing to financial problems have been started to be investigated.
• In this paper, we first propose a quantum algorithm for Bermudan option pricing.
• This method performs the approximation of the continuation value, which is a crucial part of Bermudan option pricing, by Chebyshev interpolation, using the values at interpolation nodes estimated by quantum amplitude estimation.