Pseudo Hermitian formulation of Black-Scholes equation
classification
💱 q-fin.GN
keywords
black-scholeshermitianhamiltonianpseudoclassconstructedeffectiveequation
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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 effective Black-Scholes Hamiltonian and its partner form a pseudo supersymmetric system.
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