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Pseudo Hermitian formulation of Black-Scholes equation

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  • T. K. Jana
  • P. Roy

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.

Suggested Citation

  • T. K. Jana & P. Roy, 2011. "Pseudo Hermitian formulation of Black-Scholes equation," Papers 1112.3217, arXiv.org.
  • Handle: RePEc:arx:papers:1112.3217
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    File URL: http://arxiv.org/pdf/1112.3217
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