非线性波动率与期权价格耦合模型的调制不稳定性

arXiv - PHYS - Pattern Formation and Solitons Pub Date : 2024-05-30 DOI:arxiv-2405.19887

C. Gaafele, Edmond B. Madimabe, K. Ndebele, P. Otlaadisa, B. Mozola, T. Matabana, K. Seamolo, P. Pilane

{"title":"非线性波动率与期权价格耦合模型的调制不稳定性","authors":"C. Gaafele, Edmond B. Madimabe, K. Ndebele, P. Otlaadisa, B. Mozola, T. Matabana, K. Seamolo, P. Pilane","doi":"arxiv-2405.19887","DOIUrl":null,"url":null,"abstract":"We study the Coupled Nonlinear volatility and option price model via both\nModulational instability analysis and direct simulations. Since the coupling\nterm for both the volatility and the option price equation is the same, the MI\nresults are dependent on it, and the stability of the volatility exists for the\nsame condition as that of the price. The numerical simulations are done to\ncomfirm the conditions of MI","PeriodicalId":501370,"journal":{"name":"arXiv - PHYS - Pattern Formation and Solitons","volume":"44 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Modulational Instability of the Coupled Nonlinear volatility and option price model\",\"authors\":\"C. Gaafele, Edmond B. Madimabe, K. Ndebele, P. Otlaadisa, B. Mozola, T. Matabana, K. Seamolo, P. Pilane\",\"doi\":\"arxiv-2405.19887\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the Coupled Nonlinear volatility and option price model via both\\nModulational instability analysis and direct simulations. Since the coupling\\nterm for both the volatility and the option price equation is the same, the MI\\nresults are dependent on it, and the stability of the volatility exists for the\\nsame condition as that of the price. The numerical simulations are done to\\ncomfirm the conditions of MI\",\"PeriodicalId\":501370,\"journal\":{\"name\":\"arXiv - PHYS - Pattern Formation and Solitons\",\"volume\":\"44 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-05-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - PHYS - Pattern Formation and Solitons\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.19887\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - PHYS - Pattern Formation and Solitons","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.19887","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

我们通过模拟不稳定性分析和直接模拟来研究耦合非线性波动率和期权价格模型。由于波动率方程和期权价格方程的耦合项是相同的，因此 MI 结果取决于耦合项，波动率的稳定性与期权价格的稳定性存在相同的条件。数值模拟的目的是确认 MI

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Modulational Instability of the Coupled Nonlinear volatility and option price model

We study the Coupled Nonlinear volatility and option price model via both Modulational instability analysis and direct simulations. Since the coupling term for both the volatility and the option price equation is the same, the MI results are dependent on it, and the stability of the volatility exists for the same condition as that of the price. The numerical simulations are done to comfirm the conditions of MI

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

arXiv - PHYS - Pattern Formation and Solitons

自引率

0.00%

发文量