Financial rogue waves
AbstractThe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.4259.
Date of creation: Nov 2009
Date of revision: Sep 2010
Publication status: Published in Commun. Theor. Phys. 54 (2010) 947
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
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