Supersymmetry in option pricing

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.

► We study supersymmetric approach to Black–Scholes equation.
► Supersymmetric partners of Black–Scholes equation are found.
► Pricing kernels for the partners are found.