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We uncover blocking challenges in known approaches and introduce a new method for quantum derivative pricing \u2013 the<mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\"><mml:mrow class=\"MJX-TeXAtom-ORD\"><mml:mtext class=\"MJX-tex-mathit\" mathvariant=\"italic\">re-parameterization method<\/mml:mtext><\/mml:mrow><\/mml:math>\u2013 that avoids them. This method combines pre-trained variational circuits with fault-tolerant quantum computing to dramatically reduce resource requirements. We find that the benchmark use cases we examine require 8k logical qubits and a T-depth of 54 million. We estimate that quantum advantage would require executing this program at the order of a second. While the resource requirements given here are out of reach of current systems, we hope they will provide a roadmap for further improvements in algorithms, implementations, and planned hardware architectures.<\/jats:p>","DOI":"10.22331\/q-2021-06-01-463","type":"journal-article","created":{"date-parts":[[2021,6,1]],"date-time":"2021-06-01T16:06:47Z","timestamp":1622563607000},"page":"463","update-policy":"https:\/\/doi.org\/10.22331\/q-crossmark-policy-page","source":"Crossref","is-referenced-by-count":93,"title":["A Threshold for Quantum Advantage in Derivative Pricing"],"prefix":"10.22331","volume":"5","author":[{"given":"Shouvanik","family":"Chakrabarti","sequence":"first","affiliation":[{"name":"Goldman, Sachs & Co., New York, NY"},{"name":"University of Maryland, College Park, MD"}]},{"given":"Rajiv","family":"Krishnakumar","sequence":"additional","affiliation":[{"name":"Goldman, Sachs & Co., New York, NY"}]},{"given":"Guglielmo","family":"Mazzola","sequence":"additional","affiliation":[{"name":"IBM Quantum, IBM Research \u2013 Zurich"}]},{"given":"Nikitas","family":"Stamatopoulos","sequence":"additional","affiliation":[{"name":"Goldman, Sachs & Co., New York, NY"}]},{"given":"Stefan","family":"Woerner","sequence":"additional","affiliation":[{"name":"IBM Quantum, IBM Research \u2013 Zurich"}]},{"given":"William J.","family":"Zeng","sequence":"additional","affiliation":[{"name":"Goldman, Sachs & Co., New York, NY"}]}],"member":"9598","published-online":{"date-parts":[[2021,6,1]]},"reference":[{"key":"0","unstructured":"A. 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