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Financial rogue waves

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  • Zhenya Yan

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.

Suggested Citation

  • Zhenya Yan, 2009. "Financial rogue waves," Papers 0911.4259, arXiv.org, revised Sep 2010.
    • Handle: RePEc:arx:papers:0911.4259
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    Cited by:

    1. Mattheakis, M. & Pitsios, I.J. & Tsironis, G.P. & Tzortzakis, S., 2016. "Extreme events in complex linear and nonlinear photonic media," Chaos, Solitons & Fractals, Elsevier, vol. 84(C), pages 73-80.
    2. Yuan, Cuilian & Yang, Hujiang & Meng, Xiankui & Tian, Ye & Zhou, Qin & Liu, Wenjun, 2023. "Modulational instability and discrete rogue waves with adjustable positions for a two-component higher-order Ablowitz–Ladik system associated with 4 × 4 Lax pair," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    3. Hederi, M. & Islas, A.L. & Reger, K. & Schober, C.M., 2016. "Efficiency of exponential time differencing schemes for nonlinear Schrödinger equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 127(C), pages 101-113.
    4. Zhonglong Zhao & Lingchao He & Yubin Gao, 2019. "Rogue Wave and Multiple Lump Solutions of the (2+1)-Dimensional Benjamin-Ono Equation in Fluid Mechanics," Complexity, Hindawi, vol. 2019, pages 1-18, August.
    5. Natanael Karjanto, 2024. "Modeling Wave Packet Dynamics and Exploring Applications: A Comprehensive Guide to the Nonlinear Schrödinger Equation," Mathematics, MDPI, vol. 12(5), pages 1-32, March.
    6. Bo Ren & Ji Lin & Zhi-Mei Lou, 2019. "A New Nonlinear Equation with Lump-Soliton, Lump-Periodic, and Lump-Periodic-Soliton Solutions," Complexity, Hindawi, vol. 2019, pages 1-10, June.

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