Quantum computational finance: martingale asset pricing in a linear programming setting. This repository containts the following files:
- zerosums.py: a python implementation for zero sum games. It contains subroutines to solve LP with a ZSG, and to generate a matrix for the LP obtained from a Black-Scholes-Merton model.
- experiments.ipynb: a notebook that uses zerosums.py to plot some quantities related to the quantum algorithm
- Plots paper.nb: a mathematica file with the numerical experiments of the paper
- bounds for rho for derivative: a simple example that compute the quantity \rho (that we can find in the runtime for the quantum algorithm of the quantum zero sum algorithm used for pricing) for a simple derivative.
Authors: Patrick Rebentrost, Alessandro Luongo, and Bin Cheng.