Article citationsMore>>

M. Contreras, et al., “A Quantum Model of Option Pricing: When Black-Scholes Meets Schrodinger and Its Semi-Classical Limit,” Physica A: Statistical Mechanics and its Applications, Vol. 39, No. 23, 2010, pp. 5447-5459. doi:10.1016/j.physa.2010.08.018

has been cited by the following article:

• TITLE: Darboux Transformation in Quantum Black-Scholes Hamiltonian and Supersymmetry

  AUTHORS: Jafar Sadeghi, Mohammad Rostami, Ahmad Pourdarvish, Behnam Pourhassan

  KEYWORDS: Black-Scholes Hamiltonian; Darboux Transformation; Supersymmetry

  JOURNAL NAME: Open Journal of Microphysics, Vol.3 No.2, May 24, 2013

  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.