The fractional soliton solutions: shaping future finances with innovative wave profiles in option pricing system

Author:

Rehman Hamood Ur1,Wong Patricia J. Y.2,Aljohani A. F.3,Iqbal Ifrah1,Saleem Muhammad Shoaib1

Affiliation:

1. Department of Mathematics, University of Okara, Okara, Pakistan

2. School of Electrical and Electronic Engineering, Nanyang Technological University, Singapore

3. Department of Mathematics, Faculty of Science, University of Tabuk, Tabuk, Saudi Arabia

Abstract

<p>Financial engineering problems hold considerable significance in the academic realm, where there remains a continued demand for efficient methods to scrutinize and analyze these models. Within this investigation, we delved into a fractional nonlinear coupled system for option pricing and volatility. The model we examined can be conceptualized as a fractional nonlinear coupled wave alternative to the governing system of Black-Scholes option pricing. This introduced a leveraging effect, wherein stock volatility aligns with stock returns. To generate novel solitonic wave structures in the system, the present article introduced a generalized Ricatti mapping method and new Kudryashov method. Graphical representations, both in 3D and 2D formats, were employed to elucidate the system's response to pulse propagation. These visualizations enabled the anticipation of appropriate parameter values that align with the observed data. Furthermore, a comparative analysis of solutions was presented for different fractional order values. Additionally, the article showcases the comparison of wave profiles through 2D graphs. The results of this investigation suggested that the proposed method served as a highly reliable and flexible alternative for problem-solving, preserving the physical attributes inherent in realistic processes. To sum up, the main objective of our work was to conceptualize a fractional nonlinear coupled wave system as an alternative to the Black-Scholes option pricing model and investigate its implications on stock volatility and returns. Additionally, we aimed to apply and analyze methods for generating solitonic wave structures and compare their solutions for different fractional order values.</p>

Publisher

American Institute of Mathematical Sciences (AIMS)

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3