Correlated Log-Normal Random Variables under a Multiscale Volatility Model
The study focuses on extending the fast mean-reversion volatility, which was developed by the author in a previous work, to the multiscale volatility model so that it can express a well-separated time scale. The leading-order term and first-order correction terms are analytically computed using the...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2021-01-01
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| Series: | Advances in Mathematical Physics |
| Online Access: | http://dx.doi.org/10.1155/2021/5916312 |
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doaj-079bb0ae982340f595d03de1bbc13d712021-07-02T17:04:55ZengHindawi LimitedAdvances in Mathematical Physics1687-91201687-91392021-01-01202110.1155/2021/59163125916312Correlated Log-Normal Random Variables under a Multiscale Volatility ModelYong-Ki Ma0Department of Applied Mathematics, Kongju National University, Chungcheongnam-do 32588, Republic of KoreaThe study focuses on extending the fast mean-reversion volatility, which was developed by the author in a previous work, to the multiscale volatility model so that it can express a well-separated time scale. The leading-order term and first-order correction terms are analytically computed using the perturbation theory based on the Lie–Trotter operator splitting method. Finally, the study is concluded by deriving the numerical results that further validate the effectiveness of the model.http://dx.doi.org/10.1155/2021/5916312 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Yong-Ki Ma |
| spellingShingle |
Yong-Ki Ma Correlated Log-Normal Random Variables under a Multiscale Volatility Model Advances in Mathematical Physics |
| author_facet |
Yong-Ki Ma |
| author_sort |
Yong-Ki Ma |
| title |
Correlated Log-Normal Random Variables under a Multiscale Volatility Model |
| title_short |
Correlated Log-Normal Random Variables under a Multiscale Volatility Model |
| title_full |
Correlated Log-Normal Random Variables under a Multiscale Volatility Model |
| title_fullStr |
Correlated Log-Normal Random Variables under a Multiscale Volatility Model |
| title_full_unstemmed |
Correlated Log-Normal Random Variables under a Multiscale Volatility Model |
| title_sort |
correlated log-normal random variables under a multiscale volatility model |
| publisher |
Hindawi Limited |
| series |
Advances in Mathematical Physics |
| issn |
1687-9120 1687-9139 |
| publishDate |
2021-01-01 |
| description |
The study focuses on extending the fast mean-reversion volatility, which was developed by the author in a previous work, to the multiscale volatility model so that it can express a well-separated time scale. The leading-order term and first-order correction terms are analytically computed using the perturbation theory based on the Lie–Trotter operator splitting method. Finally, the study is concluded by deriving the numerical results that further validate the effectiveness of the model. |
| url |
http://dx.doi.org/10.1155/2021/5916312 |
| work_keys_str_mv |
AT yongkima correlatedlognormalrandomvariablesunderamultiscalevolatilitymodel |
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1721326076283584512 |