Pseudo Hermitian formulation of Black-Scholes equation

T. K. Jana and P. Roy

Papers from arXiv.org

Abstract: We show that the non Hermitian Black-Scholes Hamiltonian and its various generalizations are eta-pseudo Hermitian. The metric operator eta is explicitly constructed for this class of Hamitonians. It is also shown that the effective Black-Scholes Hamiltonian and its partner form a pseudo supersymmetric system.

Date: 2011-12
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1112.3217 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1112.3217

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().