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paper

Pseudo Hermitian formulation of Black-Scholes equation

arXiv:1112.3217 · doi:10.1016/j.physa.2011.12.012

Abstract

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.