Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Soliton wave profiles and dynamical analysis of fractional Ivancevic option pricing model

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10100 - Mathematics

Projekt

—

Návaznosti

O - Projekt operacniho programu

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Scientific Reports

ISSN

2045-2322

e-ISSN

2045-2322

Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

12

Strana od-do

—

Kód UT WoS článku

001336221700037

EID výsledku v databázi Scopus

2-s2.0-85206122938