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 |
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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
- ???subjectarea.asjc.3100.3109???
- ???subjectarea.asjc.2600.2610???