Financial rogue waves

Details Financial rogue waves Financial rogue waves

2009-11-22

arxiv.org/abs/0911.4259v2

Commun. Theor. Phys. 54 (2010) 947

Economy

Quantitative Finance

Pricing of Securities

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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