Appearances of pseudo-bosons from Black-Scholes equation

Fabio Bagarello, Bagarello

Research output: Contribution to journalArticle

5 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

Fingerprint

Black-Scholes Equation
Bosons
Pricing
bosons
kernel
Alternatives
Context

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Mathematical Physics

Cite this

Appearances of pseudo-bosons from Black-Scholes equation. / Bagarello, Fabio; Bagarello.

In: Journal of Mathematical Physics, Vol. 57, 2016, p. 1-12.

Research output: Contribution to journalArticle

@article{7122e23e12d346bd9b3c646e0d9bf8f1,
title = "Appearances of pseudo-bosons from Black-Scholes equation",
abstract = "It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr{\"o}dinger 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.",
author = "Fabio Bagarello and Bagarello",
year = "2016",
language = "English",
volume = "57",
pages = "1--12",
journal = "Journal of Mathematical Physics",
issn = "0022-2488",
publisher = "American Institute of Physics Publising LLC",

}

TY - JOUR

T1 - Appearances of pseudo-bosons from Black-Scholes equation

AU - Bagarello, Fabio

AU - Bagarello, null

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

UR - http://hdl.handle.net/10447/194953

UR - http://scitation.aip.org/content/aip/journal/jmp

M3 - Article

VL - 57

SP - 1

EP - 12

JO - Journal of Mathematical Physics

JF - Journal of Mathematical Physics

SN - 0022-2488

ER -