Pseudo Hermitian formulation of Black-Scholes equation
AbstractWe 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 e?ective Black-Scholes Hamiltonian and its partner form a pseudo supersymmetric system.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1112.3217.
Date of creation: Dec 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
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