Open AccessPhysicsEconomics
DOI: 10.1088/0253-6102/54/5/31

Abstract

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 he used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

Citation format

YAN, Zhenya. Financial rogue waves [preprint]. arXiv, 2009. arXiv:0911.4259.