Option Pricing on Noisy Intermediate-Scale Quantum Computers: A Quantum Neural Network Approach

Training quantum neural networks (QNNs) on quantum hardware is currently bottlenecked by the cost of gradient estimation: standard parameter-shift methods require a number of circuit evaluations that grows quadratically with the number of trainable parameters, making hardware-based optimisation impractical beyond small system sizes. In this work, we introduce a training framework that reduces this cost to logarithmic in the number of qubits, making gradient-based QNN optimisation feasible on near-term hardware at increasing scales. Our framework combines three co-designed ingredients: (i) a structured, subspace-preserving Butterfly circuit architecture with $O(n \log n)$ parameters and logarithmic depth; (ii) a layer-wise training strategy that confines on-hardware optimisation to one small, well-structured layer at a time; and (iii) a parallelised parameter-shift rule that exploits the commuting structure within each Butterfly layer to extract all gradients in a constant number of circuit executions. Together these reduce the number of distinct circuit evaluations per optimisation step from $O(n^2)$ to $O(\log n)$. We validate the framework on clinical data imputation using the MIMIC-III electronic health record dataset, a demanding benchmark sensitive to optimisation instability and model variance. Hybrid classical-quantum models are trained directly on IonQ Forte Enterprise trapped-ion hardware at 16 qubits without performance degradation relative to ideal or noisy simulation and via tensor-network simulation at 32 qubits, with 32-qubit inference executed on hardware. The resulting models match or exceed strong classical neural baselines in downstream patient survival prediction while exhibiting reduced variance across runs, demonstrating that the proposed framework enables practical, scalable QNN training under realistic hardware constraints.

We present a novel application of Neural Networks with Local Converging Inputs (NNLCI) to improve the efficiency of existing numerical methods for pricing multi-asset options. The most concise input format for NNLCI has been introduced, offering substantial convenience and efficiency. NNLCI uses a neural network to locally correct solutions from a coarse mesh and a refined mesh (relative to the coarse one), requiring only a minimal amount of high-fidelity training data. We demonstrate this approach on cash-or-nothing options under the Black-Scholes equation in one, two, and three spatial dimensions, and on single-asset down-and-out barrier call options under the Heston stochastic-volatility model (whose pricing PDE is two-dimensional in the spot price $S$ and the instantaneous variance $v$). In each case, NNLCI reduces the root-mean-square error (RMSE) of the refined-mesh numerical solution by a factor of approximately 4-12 on test sets, even when the neural network is trained on only a small subset of parameter combinations. These results demonstrate that NNLCI significantly reduces computational requirements for high-dimensional problems in real-time options trading and risk management, offering low training costs and strong generalization ability.

Hybrid quantum-classical neural networks (HQNNs) are emerging as a practical approach for quantum machine learning in the noisy intermediate-scale quantum (NISQ) era, as they combine classical learning components with parameterized quantum circuits in an end-to-end trainable framework. However, their performance and efficiency depend strongly on architectural choices such as data encoding, circuit structure, measurement design, and the coupling between classical and quantum modules. This makes manual design increasingly difficult, especially when hardware limitations and resource constraints must also be taken into account. In this paper, we study the foundations of HQNNs and neural architecture search (NAS), discuss how NAS extends to quantum and hybrid settings, and demonstrate FLOPs-aware search (where FLOPs serve as a proxy for computational complexity), as an important hardware-aware direction for building HQNNs that are not only accurate but also computationally efficient and practically deployable.