| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 978185 | Physica A: Statistical Mechanics and its Applications | 2011 | 6 Pages |
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.
► We study supersymmetric approach to Black–Scholes equation. ► Supersymmetric partners of Black–Scholes equation are found. ► Pricing kernels for the partners are found.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
T.K. Jana, P. Roy,