arXiv subjects

Christopher Gaafele

Publications and source records attributed to Christopher Gaafele.

2 recordsLinked to original sources

arXiv2024

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.

nlin.PS↗

arXiv2024

Variational approach to nonlinear pulse evolution in stock derivative markets

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 in terms of existance of soliton solutions they both agree that hot market temperatures support the existance of soliton solutions.

nlin.PS↗