Appearances of pseudo-bosons from Black-Scholes equation

被引：7
作者：
Bagarello, F. [1 ,2 ]
机构：
[1] Univ Palermo, Dipartimento Energia Ingn Informaz & Modelli Mate, Fac Ingn, I-90128 Palermo, Italy
[2] Univ Turin, Ist Nazl Fis Nucl, I-10124 Turin, Italy
来源：
JOURNAL OF MATHEMATICAL PHYSICS | 2016年 / 57卷 / 04期
关键词：
D O I：
10.1063/1.4944583
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schrodinger 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. (C) 2016 AIP Publishing LLC.
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页数：12
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