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dc.contributor.supervisorKocay, W. (Computer Science)en
dc.contributor.authorMeyer, Keith
dc.date.accessioned2009-04-23T13:27:17Z
dc.date.available2009-04-23T13:27:17Z
dc.date.issued2009-04-23T13:27:17Z
dc.identifier.urihttp://hdl.handle.net/1993/3154
dc.descriptionhttp://orcid.org/0000-0002-1641-5388en
dc.description.abstractPricing 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.en
dc.format.extent2405093 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectQuantumen
dc.subjectOptionsen
dc.subjectBinomialen
dc.subjectNo-arbitrageen
dc.subjectRisk-neutralen
dc.subjectComputingen
dc.subjectStocken
dc.subjectBlack-Scholesen
dc.subjectCox-Ross-Rubinsteinen
dc.subjectPricingen
dc.subjectModelen
dc.subjectEuropeanen
dc.subjectAmericanen
dc.subjectBermudanen
dc.subjectBarrieren
dc.subjectVolatilityen
dc.titleExtending and simulating the quantum binomial options pricing modelen
dc.typeinfo:eu-repo/semantics/masterThesis
dc.typemaster thesisen_US
dc.degree.disciplineComputer Scienceen_US
dc.contributor.examiningcommitteeThulasiram, T. (Computer Science)Southern, B.W. (Physics & Astronomy)en
dc.degree.levelMaster of Science (M.Sc.)en_US
dc.description.noteMay 2009en


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