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      Financial rogue waves

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          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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          Author and article information

          Journal
          2009-11-22
          2010-09-20
          Article
          10.1088/0253-6102/54/5/31
          0911.4259
          5e6a376e-8a2f-4ac6-a9df-afded8575f89

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

          History
          Custom metadata
          Commun. Theor. Phys. 54 (2010) 947
          4 papges, 2 figures, Final version accepted in Commun. Theor. Phys., 2010
          q-fin.PR nlin.PS nlin.SI q-fin.CP

          Financial economics,Nonlinear & Complex systems,Computational finance
          Financial economics, Nonlinear & Complex systems, Computational finance

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