Ivancevic Option Pricing Model modulational instability through the variational approach
Pattern Formation and Solitons
2024-07-18 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2407.12054,
title = {Ivancevic Option Pricing Model modulational instability through the variational approach},
author = {Christopher Gaafele},
journal= {arXiv preprint arXiv:2407.12054},
year = {2024}
}
Comments
arXiv admin note: text overlap with arXiv:2407.00554