Open AccessPhysicsEconomics
Zhenya Yan
2009.11.22COMMUNICATIONS IN THEORETICAL PHYSICS
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.