Economy – Quantitative Finance – Pricing of Securities
Scientific paper
2011-01-17
Phys. Lett. A 375 (2011) 4274 (Changed Title: Vector Financial Rogue Waves)
Economy
Quantitative Finance
Pricing of Securities
7 pages, 4 figures
Scientific paper
The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a coupled nonlinear wave alternative of the Black-Scholes option pricing model. In this short report, we analytically propose the two-component financial rogue waves of the coupled nonlinear volatility and option pricing model without an embedded w-learning. Moreover, we exhibit their dynamical behaviors for chosen different parameters. The two-component financial rogue wave solutions may be used to describe the possible physical mechanisms for the rogue wave phenomena and to further excite the possibility of relative researches and potential applications of rogue waves in the financial markets and other related fields.
No associations
LandOfFree
Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-285054