Journal
COMMUNICATIONS IN THEORETICAL PHYSICS
Volume 54, Issue 5, Pages 947-949Publisher
IOP Publishing Ltd
DOI: 10.1088/0253-6102/54/5/31
Keywords
NLS equation; nonlinear option pricing model; financial rogue waves
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Funding
- National Natural Science Foundation of China [60821002/F02]
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We analytically give the financial rogue waves in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These rogue wave solutions may be used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.
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