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• W4384343710 endingPage "106751" @default.
• W4384343710 startingPage "106751" @default.
• W4384343710 abstract "In this study, the Ivancevic option pricing model (IOPM), a nonlinear wave alternative to the traditional Black–Scholes option pricing model, is investigated. The Ivancevic option pricing model is formalized by adaptive nonlinear Schrodinger equations that characterize the option-pricing wave function in terms of stock price and time. This model exhibits the characteristic regulated Brownian behavior observed in financial markets. We use the unified auxiliary equation method, which is one of the most powerful methods to explore analytical solutions of the Ivancevic option pricing model. Via this method, we obtain several new exact solutions such as singular, periodic, bright, dark, hyperbolic, trigonometric, exponential and Jacobi elliptic functions solutions. In addition, we simulate 3D surface 2D graphs and counter plots graphics for some obtained solutions by giving specific values for the involved parameters. To further analyze the obtained solutions, we conduct simulations and generate visual representations in the form of 3D surface plots, 2D graphs, and counter plots. By assigning specific values to the parameters involved in the model, we are able to visualize and examine the dynamics of the solutions in a more tangible and intuitive manner. These graphical representations provide valuable insights into the behavior and patterns exhibited by the solutions, enhancing our understanding of the model’s implications and potential applications Furthermore, we present the option price wave functions of the dependent variable in 2D graphs under the effect of the time variable t." @default.
• W4384343710 created "2023-07-15" @default.
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• W4384343710 date "2023-09-01" @default.
• W4384343710 modified "2023-10-11" @default.
• W4384343710 title "Physical wave propagation and dynamics of the Ivancevic option pricing model" @default.
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• W4384343710 doi "https://doi.org/10.1016/j.rinp.2023.106751" @default.
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