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Solitary Wave and Singular Wave Solutions for Ivancevic Option Pricing Model

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  • Xiaohua Zeng
  • Changzhou Liang
  • Chiping Yuan
  • Kang-Jia Wang

Abstract

The nonlinear option pricing model presented by Ivancevic is investigated. By using travelling wave transforming method, the nonlinear option pricing equation is transformed into a differential equation with constant coefficients. By solving the differential equation with F-expansion method, a series of exact solutions have been obtained for the Ivancevic option pricing model. By choosing appropriate parameter values, the dark-soliton and dark-soliton-like solutions, periodic wave solutions, and rogue wave solutions are obtained. These solutions will enrich the types of exact waves in the existing literature of the Ivancevic option pricing model. Furthermore, they may have potential uses in describing the possible physical mechanisms for wave phenomenon in financial markets.

Suggested Citation

  • Xiaohua Zeng & Changzhou Liang & Chiping Yuan & Kang-Jia Wang, 2022. "Solitary Wave and Singular Wave Solutions for Ivancevic Option Pricing Model," Mathematical Problems in Engineering, Hindawi, vol. 2022, pages 1-7, November.
    • Handle: RePEc:hin:jnlmpe:4599194
    DOI: 10.1155/2022/4599194
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