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Day December 18, 2011

Pseudo Hermitian formulation of Black-Scholes equation

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)