Rogue waves based on the coupled nonlinear Schrodinger option pricing model with external potential

被引：84

作者：

Liu, Bing ^{[1
]}

Zhang, Xue-Er ^{[1
]}

Wang, Bin ^{[1
]}

Lu, Xing ^{[1
]}

机构：

[1] Beijing Jiaotong Univ, Dept Math, Beijing 100044, Peoples R China

来源：

MODERN PHYSICS LETTERS B | 2022年 / 36卷 / 15期

基金：

中国国家自然科学基金;

关键词：

Option pricing; the nonlinear Schrodinger model; rogue wave; external potential; similarity transformation;

D O I：

10.1142/S0217984922500579

中图分类号：

O59 [应用物理学];

学科分类号：

摘要：

Based on the coupled nonlinear volatility and option pricing model, we introduce a new external potential on the option price to a coupled nonlinear Schrodinger model. We derive the numerical solutions and the rogue wave solutions to explore the influence of external potential on option price fluctuating and financial rogue waves. The results provide more possibility of option pricing with the external potential in line with financial markets.

引用

页数：15

共 37 条

[1] Application of Residual Power Series Method for the Solution of Time-fractional Schrodinger Equations in One-dimensional Space [J].

Abu Arqub, Omar .

FUNDAMENTA INFORMATICAE, 2019, 166 (02) :87-110

[2] Two improved techniques for the perturbed nonlinear Biswas-Milovic equation and its optical solitons [J].

Akinyemi, Lanre .

OPTIK, 2021, 243

[3]

Ammann M., 2001, FINANC MARK PORTFOLI, V15, P363

[4]

[Anonymous], GEOMETRICAL DYNAMICS

[5]

[Anonymous], 2011, Journal of Mathematical Finance, DOI DOI 10.4236/JMF.2011.13006

[6]

[Anonymous], 2012, NONLINEAR TIME SERIE

[7]

[Anonymous], 2007, HIGH DIMENSIONAL CHA

[8] A path integral approach to option pricing with stochastic volatility: Some exact results [J].

Baaquie, BE .

JOURNAL DE PHYSIQUE I, 1997, 7 (12) :1733-1753

[9]

Biouele C.M., 2016, OPEN J MAR SCI, V6, P238, DOI DOI 10.4236/ojms.2016.62019

[10] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

← 1 2 3 4 →