The PT Symmeter » T. K. Jana http://ptsymmetry.net PT Symmetry articles and information Wed, 24 Dec 2014 09:54:41 +0000 en hourly 1 http://wordpress.org/?v=3.0.4 Pseudo Hermitian formulation of Black-Scholes equation http://ptsymmetry.net/?p=663&utm_source=rss&utm_medium=rss&utm_campaign=pseudo-hermitian-formulation-of-black-scholes-equation http://ptsymmetry.net/?p=663#comments Sun, 18 Dec 2011 18:58:45 +0000 dwh http://ptsymmetry.net/?p=663 T. K. Jana, P. Roy

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 e?ective Black-Scholes Hamiltonian and its partner form a pseudo supersymmetric system.

http://arxiv.org/abs/1112.3217
General Finance (q-fin.GN)

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