Vector financial rogue waves
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Publication:1928046
DOI10.1016/J.PHYSLETA.2011.09.026zbMATH Open1254.91190arXiv1101.3107OpenAlexW1502640188MaRDI QIDQ1928046FDOQ1928046
Authors: Zhenya Yan 
Publication date: 2 January 2013
Published in: Physics Letters. A (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/1101.3107
Recommendations
financial marketsBlack-Scholes option pricing modelcontrolled stochastic volatilitythe coupled nonlinear volatility and option pricing modelvector financial rogue waves (rogons)adaptive nonlinear Schrödinger equation
Learning and adaptive systems in artificial intelligence (68T05) NLS equations (nonlinear Schrödinger equations) (35Q55) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (only showing first 100 items - show all)
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