Financial rogue waves
Pricing of Securities
2015-05-14 v2 Pattern Formation and Solitons
Exactly Solvable and Integrable Systems
Computational Finance
Abstract
The financial rogue waves are reported analytically in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These solutions may be used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.
Cite
@article{arxiv.0911.4259,
title = {Financial rogue waves},
author = {Zhenya Yan},
journal= {arXiv preprint arXiv:0911.4259},
year = {2015}
}
Comments
4 papges, 2 figures, Final version accepted in Commun. Theor. Phys., 2010