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

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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。

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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.

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arXiv - PHYS - Pattern Formation and Solitons

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