Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian

T.K. Jana and P. Roy

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 8, 2636-2640

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

Keywords: Black Scholes; Non-Hermitian; Pseudo supersymmetry (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:8:p:2636-2640

DOI: 10.1016/j.physa.2011.12.012

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