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As applications, we apply it to compute expectation values determined by classical solutions of SDEs, with improved dependence on precision. We demonstrate the use of this algorithm in a variety of applications arising in mathematical finance, such as the Black-Scholes and Local Volatility models, and Greeks. We also provide a quantum algorithm based on sublinear binomial sampling for the binomial option pricing model with the same improvement.<\/jats:p>","DOI":"10.22331\/q-2021-06-24-481","type":"journal-article","created":{"date-parts":[[2021,6,24]],"date-time":"2021-06-24T14:31:26Z","timestamp":1624545086000},"page":"481","update-policy":"https:\/\/doi.org\/10.22331\/q-crossmark-policy-page","source":"Crossref","is-referenced-by-count":44,"title":["Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance"],"prefix":"10.22331","volume":"5","author":[{"given":"Dong","family":"An","sequence":"first","affiliation":[{"name":"Department of Mathematics, University of California, Berkeley, CA 94720, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Noah","family":"Linden","sequence":"additional","affiliation":[{"name":"School of Mathematics, Fry Building, University of Bristol, BS8 1UG, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jin-Peng","family":"Liu","sequence":"additional","affiliation":[{"name":"Joint Center for Quantum Information and Computer Science, University of Maryland, MD 20742, USA"},{"name":"Institute for Advanced Computer Studies, University of Maryland, MD 20742, USA"},{"name":"Department of Mathematics, University of Maryland, MD 20742, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ashley","family":"Montanaro","sequence":"additional","affiliation":[{"name":"School of Mathematics, Fry Building, University of Bristol, BS8 1UG, UK"},{"name":"Phasecraft Ltd, Quantum Technologies Innovation Centre, Bristol BS1 5DD, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Changpeng","family":"Shao","sequence":"additional","affiliation":[{"name":"School of Mathematics, Fry Building, University of Bristol, BS8 1UG, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jiasu","family":"Wang","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of California, Berkeley, CA 94720, USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"9598","published-online":{"date-parts":[[2021,6,24]]},"reference":[{"key":"0","doi-asserted-by":"publisher","unstructured":"A. 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