Ivancevic Option Pricing Model modulational instability through the variational approach

Christopher Gaafele

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arXiv · 2407.12054

Ivancevic Option Pricing Model modulational instability through the variational approach

Christopher Gaafele

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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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Christopher Gaafele. 2024-07-08. Ivancevic Option Pricing Model modulational instability through the variational approach. https://arxiv.org/abs/2407.12054

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