Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27740%2F24%3A10255729" target="_blank" >RIV/61989100:27740/24:10255729 - isvavai.cz</a>
Result on the web
<a href="https://www.nature.com/articles/s41598-024-74770-1#citeas" target="_blank" >https://www.nature.com/articles/s41598-024-74770-1#citeas</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1038/s41598-024-74770-1" target="_blank" >10.1038/s41598-024-74770-1</a>
Alternative languages
Result language
angličtina
Original language name
Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model
Original language description
This study dynamically investigates the mathematical Ivancevic option pricing governing system in terms of conformable fractional derivative, which illustrates a confined Brownian motion identified with a non-linear Schrödinger type equation. This model describes the controlled Brownian motion that comes with a non-linear Schrödinger type equation. The solution to comprehend the market price fluctuations for the suggested model is developed through the application of a mathematical strategy. The modified Kudryashov analytical method is applied to find the fractional analytical exact soliton solution. The restrictions on the parameters required for these solutions to exist were also the result of this approach. The dynamical insights are examined and significant aspects of the phenomenon under study are discussed through the use of the bifurcation analysis. In the related dynamical system, the phase portraits of market price fluctuations are displayed at equilibrium points and for different parameter values. Additionally, the chaos analysis was carried out to show the quasi-periodic and periodic chaotic patterns. In order to track changes in market price, the sensitivity analysis of the studied model is also looked at and presented at different initial conditions. It was discovered that the model experienced price fluctuations as a result of minute changes in initial conditions.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10100 - Mathematics
Result continuities
Project
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Continuities
O - Projekt operacniho programu
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Scientific Reports
ISSN
2045-2322
e-ISSN
2045-2322
Volume of the periodical
14
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
12
Pages from-to
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UT code for WoS article
001336221700037
EID of the result in the Scopus database
2-s2.0-85206122938