Correlated log-normal random variables under a multiscale volatility model

DOI10.1155/2021/5916312MaRDI QIDQ2247624zbMATH OpenOpenAlexFDO

Authors Yong-Ki Ma

Publication date 17 November 2021

Published in Advances in Mathematical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2021/5916312

zbMATH Keywords

fast mean-reversion volatility

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to economics (62P20)

Review text

Summary: The study focuses on extending the fast mean-reversion volatility, which was developed by the author in a previous work [Adv. Math. Phys. 2017, Article ID 7150203, 7 p. (2017; Zbl 1404.62143)], 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.

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Cites work

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Cited in

(2)

• Stochastic volatility effects on correlated log-normal random variables
• From rough to multifractal volatility: the log S-fBm model

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