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oaioai:iris.unipa.it:10447/194953

Appearances of pseudo-bosons from Black-Scholes equation

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Publication date
1 January 2016
Publisher
American Institute of Physics Inc.
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    Abstract

    It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schrödinger equation expressed in terms of a non-self-adjoint Hamiltonian. We show how pseudo-bosons, linear or not, naturally arise in this context, and how they can be used in the computation of the pricing kernel

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    Archivio istituzionale della ricerca - Università di Palermo

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    oaioai:iris.unipa.it:10447/194953
    Last time updated on 12/11/2016

    This paper was published in Archivio istituzionale della ricerca - Università di Palermo.

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