Pseudo Hermitian formulation of Black-Scholes equation
General Finance
2016-11-25 v1
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.
Keywords
Cite
@article{arxiv.1112.3217,
title = {Pseudo Hermitian formulation of Black-Scholes equation},
author = {T. K. Jana and P. Roy},
journal= {arXiv preprint arXiv:1112.3217},
year = {2016}
}