The Fractional Soliton Wave Propagation of Non-Linear Volatility and Option Pricing Systems with a Sensitive Demonstration

The Fractional Soliton Wave Propagation of Non-Linear Volatility and Option Pricing Systems with a Sensitive Demonstration

In this study, we explore a fractional non-linear coupled option pricing and volatility system. The model under consideration can be viewed as a fractional non-linear coupled wave alternative to the Black–Scholes option pricing governing system, introducing a leveraging effect where stock volatility...

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Bibliographic Details
Main Authors: Muhammad Bilal Riaz, Ali Raza Ansari, Adil Jhangeer, Muddassar Imran, Choon Kit Chan
Format: Article
Language:English
Published: MDPI AG 2023-11-01
Series:Fractal and Fractional
Subjects:
Φ6-model expansion scheme
M-truncated fractional operator
analytical solution
coupled nonlinear volatility
option pricing model
Online Access:https://www.mdpi.com/2504-3110/7/11/809

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https://www.mdpi.com/2504-3110/7/11/809

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