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：
CommunicationsinTheoreticalPhysics | 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
收藏
页码：947 / 949
页数：3
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