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Supersymmetry in option pricing

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  • Jana, T.K.
  • Roy, P.

Abstract

We use supersymmetry to find the isospectral partners of Black–Scholes Hamiltonian without a potential and with a double knock out barrier potential. The pricing kernels for these Hamiltonians have also been obtained.

Suggested Citation

  • Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:12:p:2350-2355
    DOI: 10.1016/j.physa.2011.02.027
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    References listed on IDEAS

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    1. repec:cup:cbooks:9780521039871 is not listed on IDEAS
    2. repec:cup:cbooks:9780521620086 is not listed on IDEAS
    3. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
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    Cited by:

    1. Yeşiltaş, Özlem, 2023. "The Black–Scholes equation in finance: Quantum mechanical approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 623(C).
    2. Liviu-Adrian Cotfas & Nicolae Cotfas, 2013. "Quantum harmonic oscillator in option pricing," Papers 1310.4142, arXiv.org, revised Oct 2013.
    3. Liviu-Adrian Cotfas & Camelia Delcea & Nicolae Cotfas, 2014. "Exact solution of a generalized version of the Black-Scholes equation," Papers 1411.2628, arXiv.org.
    4. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.

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