Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading

Francesca Cibrario; Ron Cohen; Emanuele Dri; Christian Mattia; Or Samimi Golan; Tamuz Danzig; Giacomo Ranieri; Hanan Rosemarin; Davide Corbelletto; Amir Naveh; Bartolomeo Montrucchio

doi:10.1109/qce65121.2025.00267

Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading

Francesca Cibrario
, Ron Cohen
, Emanuele Dri
, Christian Mattia
, Or Samimi Golan
, Tamuz Danzig
, Giacomo Ranieri
, Hanan Rosemarin
, Davide Corbelletto
, Amir Naveh
, Bartolomeo Montrucchio

Intesa Sanpaolo S.p.A.
Classiq Technologies Ltd.
Fondazione LINKS
Polytechnic University of Turin

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high performance computing (HPC) hardware, along with an empirical analysis of convergence to the classically estimated value. Our key innovation is an improved integration-based exponential amplitude loading technique that reduces circuit depth compared to state-of-the-art approaches. A detailed complexity analysis in a relevant setting shows a ∼ 50 x reduction in T-depth for the payoff component relative to previous methods. These contributions represent a step toward more efficient quantum approaches to pricing complex financial derivatives.

Original language	English
Title of host publication	Technical Papers Program
Editors	Candace Culhane, Greg Byrd, Hausi Muller, Andrea Delgado, Stephan Eidenbenz
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	2459-2469
Number of pages	11
ISBN (Electronic)	9798331557362
DOIs	https://doi.org/10.1109/qce65121.2025.00267
State	Published - 2025
Externally published	Yes
Event	6th IEEE International Conference on Quantum Computing and Engineering, QCE 2025 - Albuquerque, United States Duration: 31 Aug 2025 → 5 Sep 2025

Publication series

Name	Proceedings - IEEE Quantum Week 2025, QCE 2025
Volume	1

Conference

Conference	6th IEEE International Conference on Quantum Computing and Engineering, QCE 2025
Country/Territory	United States
City	Albuquerque
Period	31/08/25 → 5/09/25

Bibliographical note

Publisher Copyright:
© 2025 IEEE.

Keywords

amplitude loading
autocallable option
derivative pricing
quantum computing
quantum finance

Access to Document

10.1109/qce65121.2025.00267

Cite this

Cibrario, F., Cohen, R., Dri, E., Mattia, C., Golan, O. S., Danzig, T., Ranieri, G., Rosemarin, H., Corbelletto, D., Naveh, A., & Montrucchio, B. (2025). Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading. In C. Culhane, G. Byrd, H. Muller, A. Delgado, & S. Eidenbenz (Eds.), Technical Papers Program (pp. 2459-2469). (Proceedings - IEEE Quantum Week 2025, QCE 2025; Vol. 1). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/qce65121.2025.00267

Cibrario, Francesca ; Cohen, Ron ; Dri, Emanuele et al. / Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading. Technical Papers Program. editor / Candace Culhane ; Greg Byrd ; Hausi Muller ; Andrea Delgado ; Stephan Eidenbenz. Institute of Electrical and Electronics Engineers Inc., 2025. pp. 2459-2469 (Proceedings - IEEE Quantum Week 2025, QCE 2025).

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abstract = "We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high performance computing (HPC) hardware, along with an empirical analysis of convergence to the classically estimated value. Our key innovation is an improved integration-based exponential amplitude loading technique that reduces circuit depth compared to state-of-the-art approaches. A detailed complexity analysis in a relevant setting shows a ∼ 50 x reduction in T-depth for the payoff component relative to previous methods. These contributions represent a step toward more efficient quantum approaches to pricing complex financial derivatives.",

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author = "Francesca Cibrario and Ron Cohen and Emanuele Dri and Christian Mattia and Golan, \{Or Samimi\} and Tamuz Danzig and Giacomo Ranieri and Hanan Rosemarin and Davide Corbelletto and Amir Naveh and Bartolomeo Montrucchio",

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doi = "10.1109/qce65121.2025.00267",

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series = "Proceedings - IEEE Quantum Week 2025, QCE 2025",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

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Cibrario, F, Cohen, R, Dri, E, Mattia, C, Golan, OS, Danzig, T, Ranieri, G, Rosemarin, H, Corbelletto, D, Naveh, A & Montrucchio, B 2025, Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading. in C Culhane, G Byrd, H Muller, A Delgado & S Eidenbenz (eds), Technical Papers Program. Proceedings - IEEE Quantum Week 2025, QCE 2025, vol. 1, Institute of Electrical and Electronics Engineers Inc., pp. 2459-2469, 6th IEEE International Conference on Quantum Computing and Engineering, QCE 2025, Albuquerque, United States, 31/08/25. https://doi.org/10.1109/qce65121.2025.00267

Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading. / Cibrario, Francesca; Cohen, Ron; Dri, Emanuele et al.
Technical Papers Program. ed. / Candace Culhane; Greg Byrd; Hausi Muller; Andrea Delgado; Stephan Eidenbenz. Institute of Electrical and Electronics Engineers Inc., 2025. p. 2459-2469 (Proceedings - IEEE Quantum Week 2025, QCE 2025; Vol. 1).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Danzig, Tamuz

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AU - Corbelletto, Davide

AU - Naveh, Amir

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AB - We present a comprehensive quantum algorithm tailored for pricing autocallable options, offering a full implementation and experimental validation. Our experiments include simulations conducted on high performance computing (HPC) hardware, along with an empirical analysis of convergence to the classically estimated value. Our key innovation is an improved integration-based exponential amplitude loading technique that reduces circuit depth compared to state-of-the-art approaches. A detailed complexity analysis in a relevant setting shows a ∼ 50 x reduction in T-depth for the payoff component relative to previous methods. These contributions represent a step toward more efficient quantum approaches to pricing complex financial derivatives.

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Cibrario F, Cohen R, Dri E, Mattia C, Golan OS, Danzig T et al. Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading. In Culhane C, Byrd G, Muller H, Delgado A, Eidenbenz S, editors, Technical Papers Program. Institute of Electrical and Electronics Engineers Inc. 2025. p. 2459-2469. (Proceedings - IEEE Quantum Week 2025, QCE 2025). doi: 10.1109/qce65121.2025.00267

Autocallable Options Pricing with Integration-Based Exponential Amplitude Loading

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Publication series

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Bibliographical note

Keywords

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