Supersymmetry in option pricing |
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| Authors: | T.K. Jana |
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| Affiliation: | a Department of Mathematics, R.S. Mahavidyalaya, Ghatal 721212, Indiab Physics & Applied Mathematics Unit, Indian Statistical Institute, Kolkata 700108, India |
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| 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. |
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| Keywords: | Supersymmetry Black Scholes Option pricing |
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