Vector financial rogue waves
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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?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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Cited in
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- Novel higher-order rational solitons and dynamics of the defocusing integrable nonlocal nonlinear Schrödinger equation via the determinants
- Nonlocal general vector nonlinear Schrödinger equations: integrability, \(\mathcal{PT}\) symmetribility, and solutions
- Rogue wave for the (3+1)-dimensional Yu-Toda-Sasa-Fukuyama equation
- Riemann–Hilbert problem and interactions of solitons in the ‐component nonlinear Schrödinger equations
- Semi-rational solutions of the third-type Davey-Stewartson equation
- Optical temporal rogue waves in the generalized inhomogeneous nonlinear Schrödinger equation with varying higher-order even and odd terms
- Rogue wave and a pair of resonance stripe solitons to KP equation
- Inverse scattering and \(N\)-triple-pole soliton and breather solutions of the focusing nonlinear Schrödinger hierarchy with nonzero boundary conditions
- Financial rogue waves
- Nonautonomous rogue waves and `catch' dynamics for the combined Hirota-LPD equation with variable coefficients
- Novel rogue waves and dynamics in the integrable pair-transition-coupled nonlinear Schrödinger equation
- Rogue wave and multiple lump solutions of the \((2+1)\)-dimensional Benjamin-Ono equation in fluid mechanics
- The general coupled Hirota equations: modulational instability and higher-order vector rogue wave and multi-dark soliton structures
- Lump and interaction solutions to the \((2+1)\)-dimensional Burgers equation
- The breather-like and rational solutions for the integrable Kadomtsev-Petviashvili-based system
- Three-wave resonant interactions: multi-dark-dark-dark solitons, breathers, rogue waves, and their interactions and dynamics
- Characteristics of rogue waves on a soliton background in the general three-component nonlinear Schrödinger equation
- Parity-time-symmetric rational vector rogue waves of the n-component nonlinear Schrödinger equation
- Localized waves and interaction solutions to a \((3+1)\)-dimensional generalized KP equation
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Solitary waves, homoclinic breather waves and rogue waves of the (3 + 1)-dimensional Hirota bilinear equation
- Breathers on elliptic function background for a generalized nonlinear Schrödinger equation with higher-order terms
- Characteristics of solitary wave, homoclinic breather wave and rogue wave solutions in a (2+1)-dimensional generalized breaking soliton equation
- Multiple lump solutions of the (3+1)-dimensional potential Yu-Toda-Sasa-Fukuyama equation
- The \(n\)-component nonlinear Schrödinger equations: dark-bright mixed \(N\)- and high-order solitons and breathers, and dynamics
- Three-component nonlinear Schrödinger equations: modulational instability, \(N\)th-order vector rational and semi-rational rogue waves, and dynamics
- Modulation instability, rogue waves and conservation laws in higher-order nonlinear Schrödinger equation
- Rogue waves, homoclinic breather waves and soliton waves for the \((2 + 1)\)-dimensional B-type Kadomtsev-Petviashvili equation
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- Rogue waves, breather waves and solitary waves for a (3+1)-dimensional nonlinear evolution equation
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- Rational solutions to two- and one-dimensional multicomponent Yajima-Oikawa systems
- Focusing and defocusing Hirota equations with non-zero boundary conditions: inverse scattering transforms and soliton solutions
- Darboux transformations and exact solutions for the integrable nonlocal Lakshmanan-Porsezian-Daniel equation
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- Higher-order vector discrete rogue-wave states in the coupled Ablowitz-Ladik equations: exact solutions and stability
- Modulational instability, beak-shaped rogue waves, multi-dark-dark solitons and dynamics in pair-transition-coupled nonlinear Schrödinger equations
- Characteristics of the breather and rogue waves in a \((2+1)\)-dimensional nonlinear Schrödinger equation
- Interactional solutions of the extended nonlinear Schrödinger equation with higher-order operators
- Characteristics of abundant lumps and interaction solutions in the (4+1)-dimensional nonlinear partial differential equation
- On quasi-periodic waves and rogue waves to the \((4+1)\)-dimensional nonlinear Fokas equation
- Multi-component nonlinear Schrödinger equations with nonzero boundary conditions: higher-order vector Peregrine solitons and asymptotic estimates
- Higher-Order Rogue Wave Pairs in the Coupled Cubic-Quintic Nonlinear Schrödinger Equations
- Breather and nondegenerate solitons in the two-component modified Korteweg-de Vries equation
- A weakly coupled Hirota equation and its rogue waves
- Localized Excitations of a Generalised Jimbo-Miwa Equation
- Modulational instability and dynamics of multi-rogue wave solutions for the discrete Ablowitz-Ladik equation
- Dynamics of breathers and rogue waves in scalar and multicomponent nonlinear systems
- On the breathers and rogue waves to a (2+1)-dimensional nonlinear Schrödinger equation with variable coefficients
- Novel rogue waves for a mixed coupled nonlinear Schrödinger equation on Darboux-dressing transformation
- Rogue wave solutions of the \((2+1)\)-dimensional derivative nonlinear Schrödinger equation
- Modulational instability and higher-order rogue waves with parameters modulation in a coupled integrable AB system via the generalized Darboux transformation
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- General high-order rogue waves to nonlinear Schrödinger-Boussinesq equation with the dynamical analysis
- Characteristics of the solitary waves and rogue waves with interaction phenomena in a generalized \((3+1)\)-dimensional Kadomtsev-Petviashvili equation
- New rational and breather solutions of a higher-order integrable nonlinear Schrödinger equation
- Hybrid solutions of (3 + 1)-dimensional Jimbo-Miwa equation
- Nonautonomous discrete rogue wave solutions and interactions in an inhomogeneous lattice with varying coefficients
- Constructing rogue wave prototypes of nonlinear evolution equations via an extended tanh method
- Dynamic behaviors of interaction solutions of (3 + 1)-dimensional shallow water wave equation
- Solitary waves and rogue waves in a plasma with nonthermal electrons featuring Tsallis distribution
- Lump-stripe interaction solutions to the potential Yu-Toda-Sasa-Fukuyama equation
- On the breather waves, rogue waves and solitary waves to a generalized (2+1)-dimensional Caudrey-Dodd-Gibbon-Kotera-Sawada equation
- Higher-order rational solitons and rogue-like wave solutions of the \((2+1)\)-dimensional nonlinear fluid mechanics equations
- Vector rational and semi-rational rogue waves for the coupled cubic-quintic nonlinear Schrödinger system in a non-Kerr medium
- Interactions of lump and solitons to generalized \((2+1)\)-dimensional Ito systems
- Computing solitary wave solutions of coupled nonlinear Hirota and Helmholtz equations
- Abundant rogue wave solutions for the \((2 + 1)\)-dimensional generalized Korteweg-de Vries equation
- Modulational instability and higher order-rogue wave solutions for the generalized discrete Hirota equation
- Non-degenerate multi-rogue waves and easy ways of their excitation
- The twin properties of rogue waves and homoclinic solutions for some nonlinear wave equations
- Semi-rational vector rogon-soliton solutions of the five-component Manakov/NLS system with mixed backgrounds
- Higher-order rational solutions for a new integrable nonlocal fifth-order nonlinear Schrödinger equation
- Breather wave and traveling wave solutions for \(A\) \((2 + 1)\)-dimensional KdV4 equation
- Vector semi-rational rogon-solitons and asymptotic analysis for any multi-component Hirota equations with mixed backgrounds
- Rogue wave excitations and hybrid wave structures of the Heisenberg ferromagnet equation with time-dependent inhomogeneous bilinear interaction and spin-transfer torque
- Characteristics of rogue waves on a soliton background in the general coupled nonlinear Schrödinger equation
- Continuous limit and position adjustable rogue wave solutions for the semi-discrete complex coupled system associated with \(4\times 4\) Lax pair
- Derivation and rogue waves of the fractional nonlinear Schrödinger equation for the Rossby waves
- Nonlinear internal gravity waves in the atmosphere: rogue waves, breathers and dark solitons
- 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
- Modulation instability, state transitions and dynamics of multi-peak rogue wave in a higher-order coupled nonlinear Schrödinger equation
- Hidden Akhmediev breathers and vector modulation instability in the defocusing regime
- Prolific new M-fractional soliton behaviors to the Schrödinger type Ivancevic option pricing model by two efficient techniques
- Rational solitons and rogue waves for the integrable nonlocal Lakshmanan-Porsezian-Daniel equation
- New classes of solutions in the coupled \(\mathcal{PT}\) symmetric nonlocal nonlinear Schrödinger equations with four wave mixing
- Homoclinic breather and rogue wave solutions to Maccari equation
- Exact solutions and Darboux transformation for the reverse space-time nonlocal Lakshmanan-Porsezian-Daniel equation
- 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
- Rogue wave patterns of two-component nonlinear Schrödinger equation coupled to the Boussinesq equation
- Rational vector rogue waves for the \(n\)-component Hirota equation with non-zero backgrounds
- Inverse scattering transform for the two‐component Gerdjikov–Ivanov equation with nonzero boundary conditions: Dark‐dark solitons
- Lax pair, Darboux transformation and \(N\)th-order rogue wave solutions for a (2+1)-dimensional Heisenberg ferromagnetic spin chain equation
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