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.
|Number of pages||12|
|Journal||Journal of Mathematical Physics|
|Publication status||Published - 2016|
All Science Journal Classification (ASJC) codes
- Statistical and Nonlinear Physics
- Mathematical Physics