发帖
雷达卡
摘要翻译：
最近，人们提出了一种新的金融期权定价的自适应波动模型，其形式为自适应非线性Schr{o}dinger(NLS)方程[Ivancevic a]，作为线性Black-Scholes-Merton模型[Black-Scholes-Merton]的高复杂度替代。它的量子力学基础已在[IvancevicB]中阐述。非线性模型的孤立解和激波解及其线性（周期）量子化简都成功地拟合了Black-Scholes数据，并定义了金融希腊语。在[Yan]中，这个初始波模型（称为Ivancevic期权定价模型）得到了进一步的扩展，给出了新的rogue波形式的NLS解（单Rogon解和双Rogon解）。在这封信中，我提出了一个新的金融研究方案，目标是开发一个用于现实期权定价预测和控制的通用波浪型模型。关键词：通用期权-价格波动模型，新金融研究程序
---
英文标题：
《New Financial Research Program: General Option-Price Wave Modeling》
---
作者：
Vladimir G. Ivancevic
---
最新提交年份：
2010
---
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
--
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
--
---
英文摘要：
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to the linear Black-Scholes-Merton model [Black-Scholes-Merton]. Its quantum-mechanical basis has been elaborated in [Ivancevic b]. Both the solitary and shock-wave solutions of the nonlinear model, as well as its linear (periodic) quantum simplification are shown to successfully fit the Black-Scholes data, and define the financial Greeks. This initial wave model (called the Ivancevic option pricing model) has been further extended in [Yan], by providing the new NLS solutions in the form of rogue waves (one-rogon and two-rogon solutions). In this letter, I propose a new financial research program, with a goal to develop a general wave-type model for realistic option-pricing prediction and control. Keywords: General option-price wave modeling, new financial research program
---
PDF链接：
https://arxiv.org/pdf/1001.4151
京公网安备 11010802022788号
