{"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}
引用次数: 0
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.
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