KMS Of Academy of mathematics and systems sciences, CAS
| Financial Rogue Waves | |
Yan Zhen-Ya
| |
| 2010-11-15 | |
| 发表期刊 | COMMUNICATIONS IN THEORETICAL PHYSICS
 |
| ISSN | 0253-6102 |
| 卷号 | 54期号:5页码:947-949 |
| 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 the possible physical mechanisms for rogue wave phenomenon in financial markets and related fields. |
| 关键词 | NLS equation nonlinear option pricing model financial rogue waves |
| 语种 | 英语 |
| 资助项目 | National Natural Science Foundation of China[60821002/F02] |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| WOS记录号 | WOS:000284392200031 |
| 出版者 | IOP PUBLISHING LTD |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/9925 |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yan Zhen-Ya |
| 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 Zhen-Ya. Financial Rogue Waves[J]. COMMUNICATIONS IN THEORETICAL PHYSICS,2010,54(5):947-949. |
| APA | Yan Zhen-Ya.(2010).Financial Rogue Waves.COMMUNICATIONS IN THEORETICAL PHYSICS,54(5),947-949. |
| MLA | Yan Zhen-Ya."Financial Rogue Waves".COMMUNICATIONS IN THEORETICAL PHYSICS 54.5(2010):947-949. |
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