Solving the Ivancevic pricing model using the He's frecuency amplitude formulation

zbMATH Open1406.91442MaRDI QIDQ5355276FDOQ5355276

Authors: O. González-Gaxiola, Sunday O. Edeki, O. O. Ugbebor, Juan Ruiz de Chávez 

Publication date: 7 September 2017

Full work available at URL: http://www.ejpam.com/index.php/ejpam/article/view/3065

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zbMATH Keywords

option pricingamplitude-frequency formulationnonlinear Black-Scholes modelIvancevic pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Wave equation (35L05)

Cited In (5)

• Financial rogue waves
• Local fractional operator for analytical solutions of the \(K(2, 2)\)-focusing branch equations of time-fractional order
• A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
• Prolific new M-fractional soliton behaviors to the Schrödinger type Ivancevic option pricing model by two efficient techniques
• SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)

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