Vector financial rogue waves

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Publication:1928046

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DOI10.1016/j.physleta.2011.09.026zbMath1254.91190arXiv1101.3107OpenAlexW1502640188MaRDI QIDQ1928046

Publication date: 2 January 2013

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3107

zbMATH Keywords

financial markets Black-Scholes option pricing model adaptive nonlinear Schrödinger equation controlled stochastic volatility the coupled nonlinear volatility and option pricing model vector financial rogue waves (rogons)

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Microeconomic theory (price theory and economic markets) (91B24) NLS equations (nonlinear Schrödinger equations) (35Q55)

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