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The coupled nonlinear volatility and option pricing model presented recentlyby Ivancevic is investigated, which generates a leverage effect, i.e., stockvolatility is (negatively) correlated to stock returns, and can be regarded asa coupled nonlinear wave alternative of the Black-Scholes option pricing model.In this short report, we analytically propose the two-component financial roguewaves of the coupled nonlinear volatility and option pricing model without anembedded w-learning. Moreover, we exhibit their dynamical behaviors for chosendifferent parameters. The two-component financial rogue wave solutions may beused to describe the possible physical mechanisms for the rogue wave phenomenaand to further excite the possibility of relative researches and potentialapplications of rogue waves in the financial markets and other related fields.

Financial Rogue Waves Appearing in the Coupled Nonlinear Volatility and Option Pricing Model