The Black-Scholes equation in finance: Quantum mechanical approaches

YEŞİLTAŞ Ö.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.623, 2023 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 623
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1016/j.physa.2023.128909
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Aerospace Database, Artic & Antarctic Regions, Compendex, INSPEC, Public Affairs Index, zbMATH, Civil Engineering Abstracts
  • Gazi Üniversitesi Adresli: Evet

Özet

In this paper, the Black-Scholes equation of the option pricing theory in order to minimize the risk through the stocks is studied. The solutions are obtained in terms of exceptional Laguerre polynomials. Moreover, higher-order supesymmetric represen-tations are studied with a special case of third order. The Darboux transformation of the heat equation linked to the Black-Scholes system is given and a new potential is shown.& COPY; 2023 Elsevier B.V. All rights reserved.