In the fast-paced world of financial markets, exotic options stand out as a playground for the daring and the innovative. With their customized payoffs and intricate structures, they offer the potential for extraordinary returns, while also presenting risks and challenges.
Pricing is a particularly demanding task, due to complex variables and ever-changing market conditions influencing the performance of these financial instruments.
CASE STUDY
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The Problem: Options Pricing
The Objective
Our objective is to streamline the process of accurately and efficiently pricing exotic options, placing utmost importance on optimal decision-making and computational efficiency.
In collaboration with an esteemed London-based investment bank, we've showcased the substantial potential for value creation. This was achieved by expediting the pricing of exotic options, including intricate multi-asset autocallable options. Our success in this endeavor is attributed to our unique approach founded on Tensor Networks, demonstrating a groundbreaking leap in the domain of options pricing.
In collaboration with an esteemed London-based investment bank, we've showcased the substantial potential for value creation. This was achieved by expediting the pricing of exotic options, including intricate multi-asset autocallable options. Our success in this endeavor is attributed to our unique approach founded on Tensor Networks, demonstrating a groundbreaking leap in the domain of options pricing.
Our Solution
By leveraging Terra Quantum's proprietary methodology for pricing exotic options, our advanced Tensor Networks-based algorithms are compatible with current classical compute infrastructure. These algorithms have demonstrated an impressive 75% acceleration in pricing compared to the industry-standard Monte Carlo methods.
Remarkably, this acceleration is achieved without compromising on the desired level of accuracy for options pricing. This significant advancement underscores Terra Quantum's pioneering approach, poised to redefine the landscape of financial computation.
Remarkably, this acceleration is achieved without compromising on the desired level of accuracy for options pricing. This significant advancement underscores Terra Quantum's pioneering approach, poised to redefine the landscape of financial computation.
Performance Metrics
Our innovative approach substantially enhances the speed of options price calculations. Simultaneously, it drastically reduces the computational power required for pricing exotic options and calculating associated Greeks, all while maintaining the desired level of precision.
This breakthrough also translates into accelerated insights for traders and risk managers, allowing them to swiftly grasp their risk positions. Moreover, it leads to significant cost savings in cloud compute expenditure. This multifaceted improvement represents a major stride forward in the domain of options pricing, offering substantial benefits across the board.
This breakthrough also translates into accelerated insights for traders and risk managers, allowing them to swiftly grasp their risk positions. Moreover, it leads to significant cost savings in cloud compute expenditure. This multifaceted improvement represents a major stride forward in the domain of options pricing, offering substantial benefits across the board.
75%
Improvement in speed of pricing exotic options such as autocallables, leveraging Tensor Networks
75%
Reduction in computing power needed for pricing exotic options & related Greeks, based on the speed-up
& more
As quantum hardware matures, it will power our Tensor Networks approach to achieve even more