Appearances of pseudo-bosons from Black-Scholes equation

Abstract

It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schrödinger 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.

In press in Journal of Mathematical Physics

References in corpus (3)

• Making Sense of Non-Hermitian Hamiltonians
• Non linear pseudo-bosons versus hidden Hermiticity. II: The case of unbounded operators
• $\mathcal{D}$-deformed harmonic oscillators

Cited by in corpus (7)

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