通过变分法实现伊万斯维克期权定价模型的模态不稳定性

arXiv - PHYS - Pattern Formation and Solitons Pub Date : 2024-07-08 DOI:arxiv-2407.12054

Christopher Gaafele

{"title":"通过变分法实现伊万斯维克期权定价模型的模态不稳定性","authors":"Christopher Gaafele","doi":"arxiv-2407.12054","DOIUrl":null,"url":null,"abstract":"The instability of the Ivancevic option pricing model is studied through the\nvariational method. We have analytically derived the dispersion relation of the\nIOPM for both constant volatility and Landau coefficient model and\ntime-dependent volatility and Landau coefficient model. Also the IOPM was\nstudies numerically using the 4th order Runge-Kutta method.","PeriodicalId":501370,"journal":{"name":"arXiv - PHYS - Pattern Formation and Solitons","volume":"10 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Ivancevic Option Pricing Model modulational instability through the variational approach\",\"authors\":\"Christopher Gaafele\",\"doi\":\"arxiv-2407.12054\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The instability of the Ivancevic option pricing model is studied through the\\nvariational method. We have analytically derived the dispersion relation of the\\nIOPM for both constant volatility and Landau coefficient model and\\ntime-dependent volatility and Landau coefficient model. Also the IOPM was\\nstudies numerically using the 4th order Runge-Kutta method.\",\"PeriodicalId\":501370,\"journal\":{\"name\":\"arXiv - PHYS - Pattern Formation and Solitons\",\"volume\":\"10 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-08\",\"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-2407.12054\",\"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-2407.12054","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

通过变量法研究了伊万斯维克期权定价模型的不稳定性。我们分析推导出了恒定波动率和朗道系数模型以及随时间变化的波动率和朗道系数模型的伊万斯维克期权定价模型的离散关系。此外，我们还使用 4 阶 Runge-Kutta 方法对 IOPM 进行了数值研究。

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

Ivancevic Option Pricing Model modulational instability through the variational approach

The instability of the Ivancevic option pricing model is studied through the variational method. We have analytically derived the dispersion relation of the IOPM for both constant volatility and Landau coefficient model and time-dependent volatility and Landau coefficient model. Also the IOPM was studies numerically using the 4th order Runge-Kutta method.

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