You are here

Solving the Ivancevic Pricing Model Using the He's Frequency Amplitude Formulation

Journal Name:

Publication Year:

AMS Codes:

Abstract (2. Language): 
In nancial mathematics, option pricing theory remains a core area of interest that requires e ective models. Thus, the Ivancevic option pricing model (IOPM) is a nonlinear adaptivewave alternative for the classical Black-Scholes option pricing model; it represents a controlled Brownian motion (BM) in an adaptive setting with relation to nonlinear Schrodinger equation. The importance of the IOPM cannot be overemphasized; though, it seems dicult and complex to obtain the associated exact solutions if they exist. Therefore, this paper provides exact solutions of the IOPM by means of a proposed analytical method referred to as He's frequency amplitude formulation. Cases of nonzero adaptive market potential are considered. The method is shown to e ective, ecient, simple and direct in application, even without loss of generality.
631
637