IDEAS home Printed from https://ideas.repec.org/p/arx/papers/0911.4259.html
   My bibliography  Save this paper

Financial rogue waves

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/0911.4259
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. Liu, Yindi & Zhao, Zhonglong, 2024. "Periodic line wave, rogue waves and the interaction solutions of the (2+1)-dimensional integrable Kadomtsev–Petviashvili-based system," Chaos, Solitons & Fractals, Elsevier, vol. 183(C).
    4. 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.
    5. 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.
    6. 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).
    7. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.4259. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.