摘要翻译：
研究了Ivancevic最近提出的非线性波动率与期权定价的耦合模型，该模型产生杠杆效应，即股票波动率与股票收益负相关，可以看作是Black-Scholes期权定价模型的耦合非线性波动替代。在这篇简短的报告中，我们分析地提出了在没有嵌入W-学习的情况下耦合非线性波动率和期权定价模型的两分量金融流氓波。此外，我们还展示了它们在选择不同参数时的动力学行为。两分量金融流氓波解可以用来描述流氓波现象的可能物理机制，并进一步激发流氓波在金融市场和其他相关领域的相关研究和潜在应用的可能性。
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英文标题：
《Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and
  Option Pricing Model》
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作者：
Zhenya Yan
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Physics        物理学
二级分类：Pattern Formation and Solitons        图形形成与孤子
分类描述：Pattern formation, coherent structures, solitons
图案形成，相干结构，孤子
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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 short report, we analytically propose the two-component 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 two-component financial rogue wave 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 rogue waves in the financial markets and other related fields.
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PDF链接：
https://arxiv.org/pdf/1101.3107