Appearances of pseudo-bosons from Black-Scholes equation
Mathematical Physics
2016-05-04 v1 math.MP
Abstract
It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr\"odinger equation expressed in terms of a non self-adjoint hamiltonian. We show how {\em pseudo-bosons}, linear or not, naturally arise in this context, and how they can be used in the computation of the pricing kernel.
Keywords
Cite
@article{arxiv.1603.02792,
title = {Appearances of pseudo-bosons from Black-Scholes equation},
author = {Fabio Bagarello},
journal= {arXiv preprint arXiv:1603.02792},
year = {2016}
}
Comments
In press in Journal of Mathematical Physics