This paper proposes a nonlinear alternative for the Black-Scholes option pricing model that is defined as the Gross-Pitaevskii equation. It models the controlled Brownian motion of the financial market and describes the option price wave function in terms of the compound price and time. Here, we analytically predict the existence of a family of financial rogue wave solutions of the Black-Scholes equation in the form of complex rational functions by introducing small perturbation and using symbolic computation. The obtained solutions compose of a single symmetric soliton or several solitary peaks. The existence of non-zero offset parameters provides nontrivial alterations to higher order solutions as they would decompose into first order ones that can be used to simulate the evolution of financial risks. Financial rogue wave demonstrates a condition that investors may face a huge risk or return in the financial market, which might be an actual theoretical basis for the existence of it. Our study is the first to give solid proof of the connection between option pricing and quantum mechanics. This finding opens a novel path for the excitation and control of financial waveforms of quantum mechanic footprint and extreme financial crisis.