Affiliation:
1. Department of Mathematics, Beijing Jiaotong University, Beijing 100044, China
Abstract
Based on the coupled nonlinear volatility and option pricing model, we introduce a new external potential on the option price to a coupled nonlinear Schrödinger model. We derive the numerical solutions and the rogue wave solutions to explore the influence of external potential on option price fluctuating and financial rogue waves. The results provide more possibility of option pricing with the external potential in line with financial markets.
Funder
Fundamental Research Funds for the Central Universities of China
National Natural Science Foundation of China
Publisher
World Scientific Pub Co Pte Ltd
Subject
Condensed Matter Physics,Statistical and Nonlinear Physics
Cited by
74 articles.
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