The Black–Scholes equation in finance: Quantum mechanical approaches

Özlem Yeşiltaş

Physica A: Statistical Mechanics and its Applications, 2023, vol. 623, issue C

Abstract: In this paper, the Black–Scholes equation of the option pricing theory in order to minimize the risk through the stocks is studied. The solutions are obtained in terms of exceptional Laguerre polynomials. Moreover, higher-order supesymmetric representations are studied with a special case of third order. The Darboux transformation of the heat equation linked to the Black–Scholes system is given and a new potential is shown.

Keywords: Quantum finance; Black–Scholes model (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:623:y:2023:i:c:s0378437123004648

DOI: 10.1016/j.physa.2023.128909

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