3 papers
nlin.PS2024
Ivancevic Option Pricing Model modulational instability through the variational approach
Christopher Gaafele
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…
nlin.PS2024
Variational approach to nonlinear pulse evolution in stock derivative markets
Christopher Gaafele
The Ivancevic option pricing model is studied via variational approach. Both the Gaussian anstz and the (sech ansatz are used, and each has a unique results from one another. But i…
nlin.PS2024
Modulational Instability of the time-fractional Ivancevic option pricing model and the Coupled Nonlinear volatility and option price model
C. Gaafele, Edmond B. Madimabe, K. Ndebele +5
We study the time-fractional Ivancevic option pricing model and the coupled nonlinear volatility and option price model via both modulational instability (MI) analysis and direct s…