孤独波形状和分数Ivancevic期权定价模型的动态分析
Adil Jhangeer1, Waqas Ali Faridi2, Mansoor Alshehri3
1IT4Innovations, VŠB - Technical University of Ostrava, 70800, Poruba-Ostrava, Czech Republic.
Scientific reports
|October 11, 2024
概括
本研究使用分数衍生模型来分析期权定价,揭示由受控布朗运动驱动的市场价格波动,对初始条件敏感.
科学领域:
- 数学金融数学金融
- 非线性动力学 非线性动力学
- 分数微积分的计算.
背景情况:
- 期权定价模型对金融市场至关重要.
- 了解市场价格波动需要复杂的数学工具.
- 非线性动力学和微积分计算为金融建模提供了先进的框架.
研究的目的:
- 为了研究使用可符合的微分衍生品的伊万切维奇期权定价模型.
- 分析与非线性施罗丁格方程相关的受控布朗运动.
- 通过先进的数学策略来理解市场价格波动.
主要方法:
- 对精确的单离子溶液应用修改后的库德里亚绍夫分析方法.
- 分叉分析用于检查动态见解和系统行为.
- 混沌分析以确定周期性和准周期性模式.
- 敏感性分析用于评估初始条件对市场价格的影响.
主要成果:
- 精确的分数分析单子溶液得到了导出.
- 确定了解决方案存在的参数限制.
- 分叉分析揭示了复杂的动态行为.
- 混沌分析表明准周期和周期混沌模式.
- 灵敏度分析证实,初始条件的微小变化会导致价格大幅波动.
结论:
- 符合的小数Ivancevic期权定价模型为分析市场动态提供了强大的框架.
- 该研究强调了期权定价对初始条件的敏感性,强调了混乱和非线性动态的作用.
- 这些发现为金融建模和风险管理提供了宝贵的见解.
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