TL;DR
This paper reports analytical solutions called financial rogue waves within a nonlinear option pricing model, offering insights into extreme market events analogous to rogue waves in physical systems.
Contribution
It introduces analytical rogue wave solutions in a nonlinear financial model, expanding understanding of extreme market phenomena beyond traditional models.
Findings
Analytical rogue wave solutions derived for a nonlinear option pricing model.
These solutions may explain the physical mechanisms behind extreme market events.
Potential applications in understanding rogue wave phenomena in financial markets.
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.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Risk and Volatility Modeling