Appearances of pseudo-bosons from Black-Scholes equation

DOI10.1063/1.4944583MaRDI QIDQ2804985zbMATH OpenOpenAlexFDO

Authors Fabio Bagarello

Publication date 9 May 2016

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.02792

Mathematics Subject Classification ID

Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05) Nonselfadjoint operator theory in quantum theory including creation and destruction operators (81Q12) Many-body theory; quantum Hall effect (81V70)

Abstract: It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr"odinger equation expressed in terms of a non self-adjoint hamiltonian. We show how {em pseudo-bosons}, linear or not, naturally arise in this context, and how they can be used in the computation of the pricing kernel.

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• Deformed quons and bi-coherent states
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