Financial rogue waves

2009/11/30 by Zhenya Yan · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #q-fin.PR #nlin.PS #nlin.SI #q-fin.CP

paper · pdf · doi:10.1088/0253-6102/54/5/31

published as Commun. Theor. Phys. 54 (2010) 947 · 4 papges, 2 figures, Final version accepted in Commun. Theor. Phys., 2010

arxiv created 2010/09/20 · arxiv updated 2015/05/14

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.

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• Coexistence of two distinct rogue wave patterns in the coupled nonlinear Schrödinger equation

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