Darboux Transformation in Quantum Black-Scholes Hamiltonian and Supersymmetry


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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J. Sadeghi, M. Rostami, A. Pourdarvish and B. Pourhassan, "Darboux Transformation in Quantum Black-Scholes Hamiltonian and Supersymmetry," Open Journal of Microphysics, Vol. 3 No. 2, 2013, pp. 43-46. doi: 10.4236/ojm.2013.32008.

Conflicts of Interest

The authors declare no conflicts of interest.


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