Abstract

We give an upper bound on the resources required for valuable quantum advantage in pricing derivatives. To do so, we give the first complete resource estimates for useful quantum derivative pricing, using autocallable and Target Accrual Redemption Forward (TARF) derivatives as benchmark use cases. We uncover blocking challenges in known approaches and introduce a new method for quantum derivative pricing - the re-parameterization method - that avoids them. This method combines pre-trained variational circuits with fault-tolerant quantum computing to dramatically reduce resource requirements. We find that the benchmark use cases we examine require 7.5k logical qubits and a T-depth of 46 million and thus estimate that quantum advantage would require a logical clock speed of 10Mhz. While the resource requirements given here are out of reach of current systems, we hope they will provide a roadmap for further improvements in algorithms, implementations, and planned hardware architectures. 

Publication Details
Publication Type
Journal Article
Year of Publication
2021
Volume
5
Number of Pages
463
DOI
10.22331/q-2021-06-01-463
URL
https://arxiv.org/abs/2012.03819
Journal
Quantum
Contributors
Groups
Date Published
06/2021