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Ahmad Pourdarvish

Ahmad Pourdarvish

Academic rank: Professor
ORCID:
Education: PhD.
ScopusId:
HIndex:
Faculty: Faculty of Mathematical Sciences
Address:
Phone: 01135302470

Research

Title
Darboux Transformation in Quantum Black-Scholes Hamiltonian and Supersymmetry
Type
JournalPaper
Keywords
: Black-Scholes Hamiltonian; Darboux Transformation; Supersymmetry
Year
2013
Journal Open Journal of Microphysics
DOI
Researchers Jafar Sadeghi ، Mohammad Rostami ، Ahmad Pourdarvish ، Behnam Pourhassan

Abstract

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.