Pseudo Hermitian formulation of Black-Scholes equation

Details Pseudo Hermitian formulation of Black-Scholes equation Pseudo Hermitian formulation of Black-Scholes equation

2011-12-14

arxiv.org/abs/1112.3217v1

Economy

Quantitative Finance

General Finance

Scientific paper

We show that the non Hermitian Black-Scholes Hamiltonian and its various
generalizations are eta-pseudo Hermitian. The metric operator eta is explicitly
constructed for this class of Hamitonians. It is also shown that the e?ective
Black-Scholes Hamiltonian and its partner form a pseudo supersymmetric system.

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