Supersymmetry in option pricing

Autor: T.K. Jana, Pinaki Roy
Rok vydání: 2011
Předmět:
Zdroj: Physica A: Statistical Mechanics and its Applications. 390:2350-2355
ISSN: 0378-4371
DOI: 10.1016/j.physa.2011.02.027
Popis: 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.
Databáze: OpenAIRE
Externí odkaz: