scholarly journals Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach

1998 ◽  
Author(s):  
Steven L. Heston ◽  
Saikat Nandi
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Path Dependent ◽  
Form Approach

The closed-form option pricing formulas under the sub-fractional Poisson volatility models

2021 ◽  
Vol 148 ◽  
pp. 111012
Author(s):  
XiaoTian Wang ◽  
ZiJian Yang ◽  
PiYao Cao ◽  
ShiLin Wang
Keyword(s):  
Option Pricing ◽  
Closed Form ◽  
Volatility Models

scholarly journals Option Pricing using Quantum Computers

Quantum ◽  
2020 ◽  
Vol 4 ◽  
pp. 291 ◽  
Author(s):  
Nikitas Stamatopoulos ◽  
Daniel J. Egger ◽  
Yue Sun ◽  
Christa Zoufal ◽  
Raban Iten ◽  
...  
Keyword(s):  
Option Pricing ◽  
Quantum Computer ◽  
Quantum Circuits ◽  
Quantum Computers ◽  
Barrier Options ◽  
Error Mitigation ◽  
Quantum Device ◽  
Amplitude Estimation ◽  
Simulation Results ◽  
Path Dependent

We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods. The options that we cover include vanilla options, multi-asset options and path-dependent options such as barrier options. We put an emphasis on the implementation of the quantum circuits required to build the input states and operators needed by amplitude estimation to price the different option types. Additionally, we show simulation results to highlight how the circuits that we implement price the different option contracts. Finally, we examine the performance of option pricing circuits on quantum hardware using the IBM Q Tokyo quantum device. We employ a simple, yet effective, error mitigation scheme that allows us to significantly reduce the errors arising from noisy two-qubit gates.

A Computer Implementation of the Position Solution of Planar Linkages Using Vector Loop Decomposition

1998 ◽  
Author(s):  
Clint A. Kahler ◽  
J. Keith Nisbett ◽  
Clement R. Goodin
Keyword(s):  
Closed Form ◽  
Computer Software ◽  
Computer Implementation ◽  
Software Application ◽  
Prismatic Joints ◽  
Position Solution ◽  
Planar Linkages ◽  
Form Approach ◽  
Independent Loops

Abstract A general closed-form approach to the solution of loop equations of planar n-bar linkages is presented. Each loop of a set of canonical independent loops is decomposed to a set of vectors. Several common combinations of revolute and prismatic joints are defined. By evaluating the types of joints at each end of a vector, the magnitude and direction of the vector are determined to be known constants or unknown variables. This leads to an identification of the number of unknowns and the distribution of unknowns in the loop. This identification allows the unknowns to be found by matching the situation to one of the unique, closed-form cases for a solvable loop. A computer software application has been developed and is analyzed for efficiency.

scholarly journals A Closed-Form Approach to Determine the Base Inertial Parameters of Complex Structured Robotic Systems

2015 ◽  
Vol 48 (1) ◽  
pp. 316-321 ◽  
Author(s):  
J. Klodmann ◽  
D. Lakatos ◽  
C. Ott ◽  
A. Albu-Schäffer
Keyword(s):  
Closed Form ◽  
Robotic Systems ◽  
Inertial Parameters ◽  
Base Inertial Parameters ◽  
Form Approach
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