Vector financial rogue waves
文献类型：期刊论文
| 作者 | Yan, Zhenya
|
| 刊名 | PHYSICS LETTERS A
 |
| 出版日期 | 2011-11-21 |
| 卷号 | 375期号:48页码:4274-4279 |
| 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) |
| ISSN号 | 0375-9601 |
| DOI | 10.1016/j.physleta.2011.09.026 |
| 英文摘要 | 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. |
| 语种 | 英语 |
| WOS记录号 | WOS:000297886300007 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/12433]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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