6533b7d3fe1ef96bd1260c34

RESEARCH PRODUCT

Appearances of pseudo-bosons from Black-Scholes equation

Fabio Bagarello

subject

ComputationFOS: Physical sciencesStatistical and Nonlinear PhysicsBlack–Scholes modelMathematical Physics (math-ph)Mathematics::Spectral Theory01 natural sciences010305 fluids & plasmasSchrödinger equationsymbols.namesakeStochastic discount factor0103 physical sciencessymbols010306 general physicsHamiltonian (quantum mechanics)Settore MAT/07 - Fisica MatematicaMathematical PhysicsStatistical and Nonlinear PhysicBosonMathematical physicsMathematics

description

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

yearjournalcountryeditionlanguage
2016-03-09
10.1063/1.4944583http://arxiv.org/abs/1603.02792