Appearances of pseudo-bosons from Black-Scholes equation

DOI10.1063/1.4944583zbMATH Open1335.81065arXiv1603.02792OpenAlexW3099365450MaRDI QIDQ2804985FDOQ2804985

Fabio Bagarello

Publication date: 9 May 2016

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

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.

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

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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)

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Cited In (7)

• Susy for non-Hermitian Hamiltonians, with a view to coherent states
• Deformed quons and bi-coherent states
• One-directional quantum mechanical dynamics and an application to decision making
• Weak pseudo-bosons
• On the presence of families of pseudo-bosons in nilpotent Lie algebras of arbitrary corank
• A concise review of pseudobosons, pseudofermions, and their relatives
• A description of pseudo-bosons in terms of nilpotent Lie algebras

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