Valuation of Exchange Rate European Options Using Quantum Computing

Sierra JG

Published on: 2026-04-20

Abstract

The objective This study aims to determine an alternative method for valuing financial options, specifically European-style options on the peso-dollar exchange rate using the innovative and emerging field of quantum computing, specifically the algorithms and environments provided by the Qiskit Python library. From the cases analyzed, it is concluded that there are practically no significant differences in the valuations obtained using the Black-Scholes methodology, the Monte Carlo methodology, and the proposed quantum computing approach with a small number of qubits. Among the general results, it is worth noting that the lower the strike price, the greater the difference between the Monte Carlo and quantum computing methodologies, and this difference increases as the expiration date approaches.