Ivancevic Option Pricing Model modulational instability through the variational approach

2024/07/08 by Christopher Gaafele, Gaafele, Christopher
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Physical sciences #Pattern Formation and Solitons (nlin.PS) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2407.12054

openalex publication_date 2024/07/08 · openalex created_date 2024/09/09 · openalex updated_date 2026/07/28

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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