C. Gaafele, Edmond B. Madimabe, K. Ndebele, P. Otlaadisa, B. Mozola, T. Matabana, K. Seamolo, P. Pilane
{"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}
引用次数: 0
Abstract
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
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