Appearances of pseudo-bosons from Black-Scholes equation

Fabio Bagarello; null Bagarello

Appearances of pseudo-bosons from Black-Scholes equation

Risultato della ricerca: Article › peer review

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.

Lingua originale	English
pagine (da-a)	1-12
Numero di pagine	12
Rivista	Journal of Mathematical Physics
Volume	57
Stato di pubblicazione	Published - 2016

All Science Journal Classification (ASJC) codes

Statistical and Nonlinear Physics
Mathematical Physics

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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",

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journal = "Journal of Mathematical Physics",

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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

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