Financial rogue waves

Zhenya Yan

Papers from arXiv.org

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.

Date: 2009-11, Revised 2010-09
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Citations: View citations in EconPapers (9)

Published in Commun. Theor. Phys. 54 (2010) 947

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0911.4259

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