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FABIO BAGARELLO

Appearances of pseudo-bosons from Black-Scholes equation

Abstract

It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schrödinger equation expressed in terms of a non-self-adjoint Hamiltonian. We show how pseudo-bosons, linear or not, naturally arise in this context, and how they can be used in the computation of the pricing kernel.