388 citations · 2.8k across the 44 of their papers we have counts for
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q-fin.PR2011★ 354 cited
Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model
Zhenya Yan
The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively)…
q-fin.PR2009★ 388 cited
Financial rogue waves
Zhenya Yan
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 so…