Vector financial rogue waves

doi:10.1016/j.physleta.2011.09.026

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	Vector financial rogue waves
	Yan, Zhenya
	2011-11-21
发表期刊	PHYSICS LETTERS A
ISSN	0375-9601
卷号	375 期号:48 页码:4274-4279
摘要	The coupled nonlinear volatility and option pricing model presented recently by Ivancevic is investigated, which generates a leverage effect, i.e., stock volatility is (negatively) correlated to stock returns, and can be regarded as a coupled nonlinear wave alternative of the Black-Scholes option pricing model. In this Letter, we analytically propose vector financial rogue waves of the coupled nonlinear volatility and option pricing model without an embedded w-learning. Moreover, we exhibit their dynamical behaviors for chosen different parameters. The vector financial rogue wave (rogon) solutions may be used to describe the possible physical mechanisms for the rogue wave phenomena and to further excite the possibility of relative researches and potential applications of vector rogue waves in the financial markets and other related fields. (C) 2011 Elsevier B.V. All rights reserved.
关键词	Black-Scholes option pricing model The coupled nonlinear volatility and option pricing model Adaptive nonlinear Schrodinger equation Controlled stochastic volatility Financial markets Vector financial rogue waves (rogons)
DOI	10.1016/j.physleta.2011.09.026
语种	英语
资助项目	NSFC[11071242]
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000297886300007
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12434
专题	系统科学研究所
通讯作者	Yan, Zhenya
作者单位	Chinese Acad Sci, AMSS, Inst Syst Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yan, Zhenya. Vector financial rogue waves[J]. PHYSICS LETTERS A,2011,375(48):4274-4279.
APA	Yan, Zhenya.(2011).Vector financial rogue waves.PHYSICS LETTERS A,375(48),4274-4279.
MLA	Yan, Zhenya."Vector financial rogue waves".PHYSICS LETTERS A 375.48(2011):4274-4279.