Analysis and dynamics of the Ivancevic option pricing model with a novel fractional calculus approach
- Title
- Analysis and dynamics of the Ivancevic option pricing model with a novel fractional calculus approach
- Creator
- Veeresha P.; Kumar D.
- Description
- The aim of the current study is to capture the complex behavior of the Ivancevic option pricing (IOP) model using the (Formula presented.) -homotopy analysis transform method ((Formula presented.) -HATM) with novel fractional operator. The generalization of the Black-Scholes model with the nonlinear Schringer equation plays a pivotal role in financial mathematics in studying the option-pricing wave function associated with two parameters. Based on adaptive market potential and volatility constant with distinct initial situations, we hired three distinct cases to exemplify the ability of (Formula presented.) -HATM. The considered method is elegant unification of the (Formula presented.) -homotopy analysis and Laplace transform algorithms. The derivative of fractional order is projected with the Atangana-Baleanu (AB) operator. The fixed-point theorem is used to present the existence and uniqueness of the attained result for the considered model, and we hire five distinct initial conditions. The hired scheme is highly methodical and exact to analyze the insights of the complex system with integer and fractional order exemplifying associated areas of science, which can be observed using plots and table. 2022 Informa UK Limited, trading as Taylor & Francis Group.
- Source
- Waves in Random and Complex Media
- Date
- 2022-01-01
- Publisher
- Taylor and Francis Ltd.
- Subject
- Atangana-Baleanu derivative; Ivancevic option pricing model; Laplace transform; q-homotopy analysis method; q-homotopy analysis transform method
- Coverage
- Veeresha P., Department of Mathematics, CHRIST (Deemed to be University), Bengaluru, India; Kumar D., Department of Mathematics, University of Rajasthan, Jaipur, India
- Rights
- Restricted Access
- Relation
- ISSN: 17455030
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Veeresha P.; Kumar D., “Analysis and dynamics of the Ivancevic option pricing model with a novel fractional calculus approach,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 25, 2025, https://archives.christuniversity.in/items/show/15370.