Appearances of pseudo-bosons from Black-Scholes equation

Fabio Bagarello, Bagarello

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)1-12
Number of pages12
JournalJournal of Mathematical Physics
Volume57
Publication statusPublished - 2016

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Mathematical Physics

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