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Vector financial rogue waves
Yan, Zhenya
Source PublicationPHYSICS LETTERS A
AbstractThe 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.
KeywordBlack-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)
Funding ProjectNSFC[11071242]
WOS Research AreaPhysics
WOS SubjectPhysics, Multidisciplinary
WOS IDWOS:000297886300007
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Document Type期刊论文
Corresponding AuthorYan, Zhenya
AffiliationChinese Acad Sci, AMSS, Inst Syst Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China
Recommended Citation
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.
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