Non-equilibrium skewness, market crises, and option pricing: non-linear Langevin model of markets with supersymmetry

DOI10.1016/J.PHYSA.2022.127065OpenAlexW3122370911MaRDI QIDQ2116581

Igor Halperin

Publication date: 17 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.01417

zbMATH Keywords

quantum mechanicsBlack-Scholes modelsupersymmetryLangevin dynamicsnon-perturbative methodsnon-equilibrium market dynamics

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Dynamical breaking of supersymmetry
• ``Quantum equilibrium-disequilibrium: asset price dynamics, symmetry breaking, and defaults as dissipative instantons
• A new approach to the eigenvalue problem in quantum mechanics: convergent perturbation theory for rising potentials
• Dynamics of Markets

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