Non-equilibrium skewness, market crises, and option pricing: non-linear Langevin model of markets with supersymmetry

DOI10.1016/J.PHYSA.2022.127065MaRDI QIDQ2116581zbMATH OpenOpenAlexFDO

Authors Igor Halperin

Publication date 17 March 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.01417

zbMATH Keywords

quantum mechanicsBlack-Scholes modelsupersymmetryLangevin dynamicsnon-perturbative methodsnon-equilibrium market dynamics

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• scientific article; zbMATH DE number 944089 (Why is no real title available?)
• scientific article; zbMATH DE number 3806623 (Why is no real title available?)
• A new approach to the eigenvalue problem in quantum mechanics: convergent perturbation theory for rising potentials
• Dynamical breaking of supersymmetry
• Dynamics of Markets
• Supersymmetry in quantum mechanics
• The pricing of options and corporate liabilities
• ``Quantum equilibrium-disequilibrium: asset price dynamics, symmetry breaking, and defaults as dissipative instantons

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