Ivancevic期权模型的求解与应用  

Solution and application of Ivancevic option model

作　　者：周睿 王丹[1] 李春辉 王晓丽[1] ZHOU Rui;WANG Dan;LI Chunhui;WANG Xiaoli(Faculty of Mathematics and Artificial Intelligence,Qilu University of Technology(Shandong Academy of Sciences),Jinan 250353,China)

机构地区：[1]齐鲁工业大学(山东省科学院)数学与人工智能学部,山东济南250353

出　　处：《齐鲁工业大学学报》2023年第3期69-73,共5页Journal of Qilu University of Technology

基　　金：国家自然科学基金项目(12275017)。

摘　　要：选取Ivancevic期权模型中非线性薛定谔方程为研究对象,使用双线性方法、级数展开法对其求解,并绘制期权价格波函数与波动率和市场潜力的图像,进而分析其对于期权定价的影响,为后续期权模型投入使用提供一定的参考价值。Selects Ivancevic option model of the nonlinear schr dinger equation as the research object.The exact solution is solved by using the bilinear method and the series expansion method.The image of the wave function,volatility and market potential in the option price is drawn.Then its effect on the option pricing is analyzed.It will provide the certain reference value for the use of subsequent option model.

关 键 词：Ivancevic期权模型 非线性薛定谔方程 精确解 双线性方法 级数展开法 

分 类 号：O29[理学—应用数学]