Correlated Log-Normal Random Variables under a Multiscale Volatility Model

被引：0
|
作者：
Ma, Yong-Ki [1 ]
机构：
[1] Kongju Natl Univ, Dept Appl Math, Gongju Si 32588, Chungcheongnam, South Korea
来源：
ADVANCES IN MATHEMATICAL PHYSICS | 2021年 / 2021卷
基金：
新加坡国家研究基金会;
关键词：
DIFFUSIONS; OPTIONS; SUMS;
D O I：
10.1155/2021/5916312
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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.
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页数：7
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