MSpace - DSpace at UofM >
Faculty of Graduate Studies (Electronic Theses and Dissertations) >
FGS - Electronic Theses & Dissertations (Public) >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1993/3154

Title: Extending and simulating the quantum binomial options pricing model
Authors: Meyer, Keith
Supervisor: Kocay, W. (Computer Science)
Examining Committee: Thulasiram, T. (Computer Science)Southern, B.W. (Physics & Astronomy)
Graduation Date: May 2009
Keywords: Quantum
Options
Binomial
No-arbitrage
Risk-neutral
Computing
Stock
Black-Scholes
Cox-Ross-Rubinstein
Pricing
Model
European
American
Bermudan
Barrier
Volatility
Issue Date: 23-Apr-2009
Abstract: Pricing options quickly and accurately is a well known problem in finance. Quantum computing is being researched with the hope that quantum computers will be able to price options more efficiently than classical computers. This research extends the quantum binomial option pricing model proposed by Zeqian Chen to European put options and to Barrier options and develops a quantum algorithm to price them. This research produced three key results. First, when Maxwell-Boltzmann statistics are assumed, the quantum binomial model option prices are equivalent to the classical binomial model. Second, options can be priced efficiently on a quantum computer after the circuit has been built. The time complexity is O((N − τ)log(N − τ)) and it is in the BQP quantum computational complexity class. Finally, challenges extending the quantum binomial model to American, Asian and Bermudan options exist as the quantum binomial model does not take early exercise into account.
URI: http://hdl.handle.net/1993/3154
Appears in Collection(s):FGS - Electronic Theses & Dissertations (Public)

Files in This Item:

File Description SizeFormat
THESIS.pdf2.34 MBAdobe PDFView/Open
View Statistics

Items in MSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! MSpace Software Copyright © 2002-2010  Duraspace - Feedback