Financial rogue waves
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Publication:3010260
DOI10.1088/0253-6102/54/5/31zbMATH Open1219.91143arXiv0911.4259OpenAlexW3099687097MaRDI QIDQ3010260FDOQ3010260
Authors: Zhenya Yan 
Publication date: 30 June 2011
Published in: Communications in Theoretical Physics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0911.4259
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