Variational approach to nonlinear pulse evolution in stock derivative markets

TL;DR

This paper applies a variational approach to analyze nonlinear pulse evolution in stock derivative markets, comparing Gaussian and sech ansatz, and finds that hot market temperatures support soliton solutions.

Contribution

It introduces a variational method to study nonlinear pulse dynamics in financial markets and compares different ansatz, revealing temperature effects on soliton existence.

Findings

Both Gaussian and sech ansatz yield consistent soliton existence results.

Hot market temperatures support the existence of soliton solutions.

Different ansatz produce unique results, but agree on key conditions.

Abstract

The Ivancevic option pricing model is studied via variational approach. Both the Gaussian anstz and the (sech ansatz are used, and each has a unique results from one another. But in terms of existance of soliton solutions they both agree that hot market temperatures support the existance of soliton solutions.