期刊
COMMUNICATIONS IN THEORETICAL PHYSICS
卷 54, 期 5, 页码 947-949出版社
IOP Publishing Ltd
DOI: 10.1088/0253-6102/54/5/31
关键词
NLS equation; nonlinear option pricing model; financial rogue waves
资金
- National Natural Science Foundation of China [60821002/F02]
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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