Supersymmetry in option pricing

T.K. Jana and P. Roy

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 12, 2350-2355

Abstract: We use supersymmetry to find the isospectral partners of Black–Scholes Hamiltonian without a potential and with a double knock out barrier potential. The pricing kernels for these Hamiltonians have also been obtained.

Keywords: Supersymmetry; Black Scholes; Option pricing (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:12:p:2350-2355

DOI: 10.1016/j.physa.2011.02.027

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