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Title
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Darboux Transformation in Quantum Black-Scholes Hamiltonian and Supersymmetry
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Type
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JournalPaper
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Keywords
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: Black-Scholes Hamiltonian; Darboux Transformation; Supersymmetry
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Abstract
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In this paper, we consider the Black-Scholes (BS) equation for option pricing with constant volatility. Here, we construct the first-order Darboux transformation and the real valued condition of transformed potential for BS corresponding equation. In that case we also obtain the transformed of potential and wave function. Finally, we discuss the factorization method and investigate the supersymmetry aspect of such corresponding equation. Also we show that the first order equation is satisfied by commutative algebra.
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Researchers
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Behnam Pourhassan (Fourth Researcher), Ahmad Pourdarvish (Third Researcher), Mohammad Rostami (Second Researcher), Jafar Sadeghi (First Researcher)
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