Financial rogue waves

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

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4 papges, 2 figures, Final version accepted in Commun. Theor. Phys., 2010

Scientific paper

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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