Title of article :
Supersymmetry in option pricing
Author/Authors :
T.K. Jana، نويسنده , , P. Roy، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
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
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications