Financial rogue waves

Abstract

The financial rogue waves are reported analytically in the nonlinear option pricing model due to Ivancevic, which is nonlinear wave alternative of the Black-Scholes model. These solutions may be used to describe the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

4 papges, 2 figures, Final version accepted in Commun. Theor. Phys., 2010

References in corpus (1)

• Nonautonomous "rogons" in the inhomogeneous nonlinear Schrodinger equation with variable coefficients

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