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.
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Cites work
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
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- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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Cited in
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- Rational vector rogue waves for the \(n\)-component Hirota equation with non-zero backgrounds
- Constructing rogue wave prototypes of nonlinear evolution equations via an extended tanh method
- Large-space and large-time asymptotic properties of vector rogon-soliton and soliton-like solutions for \(n\)-component NLS equations
- Modulation instability and rogue waves for two and three dimensional nonlinear Klein-Gordon equation
- Three-component nonlinear Schrödinger equations: modulational instability, \(N\)th-order vector rational and semi-rational rogue waves, and dynamics
- Lax pair, Darboux transformation and \(N\)th-order rogue wave solutions for a (2+1)-dimensional Heisenberg ferromagnetic spin chain equation
- Dynamics of the breathers, rogue waves and solitary waves in the \((2+1)\)-dimensional Ito equation
- Rational solutions to two- and one-dimensional multicomponent Yajima-Oikawa systems
- Higher-order rational solitons and rogue-like wave solutions of the \((2+1)\)-dimensional nonlinear fluid mechanics equations
- Lump and interaction solutions to the \((2+1)\)-dimensional Burgers equation
- Solitary waves, homoclinic breather waves and rogue waves of the (3 + 1)-dimensional Hirota bilinear equation
- Breather and nondegenerate solitons in the two-component modified Korteweg-de Vries equation
- Dynamics of the breather waves, rogue waves and solitary waves in an extend Kadomtsev-Petviashvili equation
- Semi-rational vector rogon-soliton solutions and asymptotic analysis for any \(n\)-component nonlinear Schrödinger equation with mixed boundary conditions
- Multi-rogue wave solutions for a generalized integrable discrete nonlinear Schrödinger equation with higher-order excitations
- Rogue wave solutions for the \((3 + 1)\)-dimensional generalized Camassa-Holm-Kadomtsev-Petviashvili equation
- Breather wave solutions on the Weierstrass elliptic periodic background for the \((2 + 1)\)-dimensional generalized variable-coefficient KdV equation
- Higher-order vector discrete rogue-wave states in the coupled Ablowitz-Ladik equations: exact solutions and stability
- Characteristics of the breather and rogue waves in a \((2+1)\)-dimensional nonlinear Schrödinger equation
- On quasi-periodic waves and rogue waves to the \((4+1)\)-dimensional nonlinear Fokas equation
- Homoclinic breather and rogue wave solutions to Maccari equation
- Characteristics of solitary wave, homoclinic breather wave and rogue wave solutions in a (2+1)-dimensional generalized breaking soliton equation
- Rogue wave and a pair of resonance stripe solitons to a reduced (3+1)-dimensional Jimbo-Miwa equation
- Rogue wave excitations and hybrid wave structures of the Heisenberg ferromagnet equation with time-dependent inhomogeneous bilinear interaction and spin-transfer torque
- Derivation and rogue waves of the fractional nonlinear Schrödinger equation for the Rossby waves
- Controllable nonautonomous localized waves and dynamics for a quasi-1d Gross-Pitaevskii equation in Bose-Einstein condensations with attractive interaction
- Doubly localized two-dimensional rogue waves generated by resonant collision in Maccari system
- Rogue wave and multiple lump solutions of the \((2+1)\)-dimensional Benjamin-Ono equation in fluid mechanics
- Characteristics of the solitary waves and rogue waves with interaction phenomena in a generalized (3+1)-dimensional Kadomtsev-Petviashvili equation
- Modulational instability and higher order-rogue wave solutions for the generalized discrete Hirota equation
- Higher-order rational solutions for a new integrable nonlocal fifth-order nonlinear Schrödinger equation
- Rogue wave and a pair of resonance stripe solitons to KP equation
- Deep learning soliton dynamics and complex potentials recognition for 1D and 2D \(\mathcal{PT}\)-symmetric saturable nonlinear Schrödinger equations
- On the breather waves, rogue waves and solitary waves to a generalized (2+1)-dimensional Caudrey-Dodd-Gibbon-Kotera-Sawada equation
- Dynamic behaviors of interaction solutions of (3 + 1)-dimensional shallow water wave equation
- Nonautonomous rogue waves and `catch' dynamics for the combined Hirota-LPD equation with variable coefficients
- Localized waves and interaction solutions to a \((3+1)\)-dimensional generalized KP equation
- Breathers on elliptic function background for a generalized nonlinear Schrödinger equation with higher-order terms
- Multiple pole solutions of the Hirota equation under nonzero boundary conditions by inverse scattering method
- Characteristics of rogue waves on a soliton background in the general three-component nonlinear Schrödinger equation
- Novel rogue waves and dynamics in the integrable pair-transition-coupled nonlinear Schrödinger equation
- Rogue wave for the (\(2 + 1\))-dimensional Kadomtsev-Petviashvili equation
- Parity-time-symmetric rational vector rogue waves of the n-component nonlinear Schrödinger equation
- Focusing and defocusing Hirota equations with non-zero boundary conditions: inverse scattering transforms and soliton solutions
- The breather-like and rational solutions for the integrable Kadomtsev-Petviashvili-based system
- Vector rational and semi-rational rogue waves for the coupled cubic-quintic nonlinear Schrödinger system in a non-Kerr medium
- Multiple lump solutions of the (3+1)-dimensional potential Yu-Toda-Sasa-Fukuyama equation
- Lump-stripe interaction solutions to the potential Yu-Toda-Sasa-Fukuyama equation
- Darboux-Bäcklund transformation and localized excitation on the periodic wave background for the nonlinear Schrödinger equation
- The twin properties of rogue waves and homoclinic solutions for some nonlinear wave equations
- Nonlinear self-dual network equations: modulation instability, interactions of higher-order discrete vector rational solitons and dynamical behaviours
- Darboux transformations and exact solutions for the integrable nonlocal Lakshmanan-Porsezian-Daniel equation
- The NLS\((n,n)\) equation: multi-hump compactons and their stability and interaction scenarios
- The \(n\)-component nonlinear Schrödinger equations: dark-bright mixed \(N\)- and high-order solitons and breathers, and dynamics
- Hybrid solutions of (3 + 1)-dimensional Jimbo-Miwa equation
- Higher-Order Rogue Wave Pairs in the Coupled Cubic-Quintic Nonlinear Schrödinger Equations
- Rogue wave for the (3+1)-dimensional Yu-Toda-Sasa-Fukuyama equation
- New classes of solutions in the coupled \(\mathcal{PT}\) symmetric nonlocal nonlinear Schrödinger equations with four wave mixing
- The localized excitation on the Jacobi elliptic function periodic background for the Gross-Pitaevskii equation
- Three-wave resonant interactions: multi-dark-dark-dark solitons, breathers, rogue waves, and their interactions and dynamics
- Novel rogue waves for a mixed coupled nonlinear Schrödinger equation on Darboux-dressing transformation
- Interactions of localized wave and dynamics analysis in generalized derivative nonlinear Schrödinger equation
- Breather wave and traveling wave solutions for \(A\) \((2 + 1)\)-dimensional KdV4 equation
- Nonautonomous discrete rogue wave solutions and interactions in an inhomogeneous lattice with varying coefficients
- Localized Excitations of a Generalised Jimbo-Miwa Equation
- Coupled cubic-quintic nonlinear Schrödinger equation: novel bright-dark rogue waves and dynamics
- Multi-component nonlinear Schrödinger equations with nonzero boundary conditions: higher-order vector Peregrine solitons and asymptotic estimates
- General high-order rogue waves to nonlinear Schrödinger-Boussinesq equation with the dynamical analysis
- New rational and breather solutions of a higher-order integrable nonlinear Schrödinger equation
- Higher-order semi-rational solutions for the coupled complex modified Korteweg-de Vries equation
- Financial rogue waves
- Rogue waves, breather waves and solitary waves for a (3+1)-dimensional nonlinear evolution equation
- Nonlinear internal gravity waves in the atmosphere: rogue waves, breathers and dark solitons
- Rational solitons and rogue waves for the integrable nonlocal Lakshmanan-Porsezian-Daniel equation
- Exact solutions and Darboux transformation for the reverse space-time nonlocal Lakshmanan-Porsezian-Daniel equation
- Modulation instability, state transitions and dynamics of multi-peak rogue wave in a higher-order coupled nonlinear Schrödinger equation
- Bäcklund transformation and localized nonlinear wave solutions of the nonlocal defocusing coupled nonlinear Schrödinger equation
- Modulation instability, rogue waves and conservation laws in higher-order nonlinear Schrödinger equation
- Hidden Akhmediev breathers and vector modulation instability in the defocusing regime
- On the breathers and rogue waves to a (2+1)-dimensional nonlinear Schrödinger equation with variable coefficients
- Dynamics of breathers and rogue waves in scalar and multicomponent nonlinear systems
- The general coupled Hirota equations: modulational instability and higher-order vector rogue wave and multi-dark soliton structures
- Modulational instability, beak-shaped rogue waves, multi-dark-dark solitons and dynamics in pair-transition-coupled nonlinear Schrödinger equations
- Modulational instability and dynamics of multi-rogue wave solutions for the discrete Ablowitz-Ladik equation
- Inverse scattering and N-triple-pole soliton and breather solutions of the focusing nonlinear Schrödinger hierarchy with nonzero boundary conditions
- Modulational instability and higher-order rogue waves with parameters modulation in a coupled integrable AB system via the generalized Darboux transformation
- Rogue waves, rational solitons, and modulational instability in an integrable fifth-order nonlinear Schrödinger equation
- A weakly coupled Hirota equation and its rogue waves
- Rogue wave solutions of the (2+1)-dimensional derivative nonlinear Schrödinger equation
- Semi-rational solutions of the third-type Davey-Stewartson equation
- Integrability, breather, lump and quasi-periodic waves of non-autonomous Kadomtsev-Petviashvili equation based on Bell-polynomial approach
- Hybrid structures of localized waves for the coupled extended mKdV equation
- Continuous limit and position adjustable rogue wave solutions for the semi-discrete complex coupled system associated with \(4\times 4\) Lax pair
- Interactions of lump and solitons to generalized \((2+1)\)-dimensional Ito systems
- Characteristics of rogue waves on a soliton background in the general coupled nonlinear Schrödinger equation
- Large and infinite-order solitons of the coupled nonlinear Schrödinger equation
- Solitary waves and rogue waves in a plasma with nonthermal electrons featuring Tsallis distribution
- Rogue waves in a reverse space nonlocal nonlinear Schrödinger equation
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