Financial Rogue Waves

被引：28

作者：

闫振亚 ^{[1
]}

机构：

[1] Key Laboratory of Mathematics Mechanization,Institute of Systems Science,AMSS,Chinese Academy of Sciences

来源：

Communications in Theoretical Physics | 2010年 / 54卷 / 11期

基金：

中国国家自然科学基金;

关键词：

NLS equation; nonlinear option pricing model; financial rogue waves;

D O I：

暂无

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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 thepossible physical mechanisms for rogue wave phenomenon in financial markets and related fields.

引用

页码：947 / 949

页数：3