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Stochastic Volatility Effects on Correlated Log-Normal Random Variables
Author
Source
Advances in Mathematical Physics
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-12-28
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
The transition density function plays an important role in understanding and explaining the dynamics of the stochastic process.
In this paper, we incorporate an ergodic process displaying fast moving fluctuation into constant volatility models to express volatility clustering over time.
We obtain an analytic approximation of the transition density function under our stochastic process model.
Using perturbation theory based on Lie–Trotter operator splitting method, we compute the leading-order term and the first-order correction term and then present the left and right skew scenarios through numerical study.
American Psychological Association (APA)
Ma, Yong-Ki. 2017. Stochastic Volatility Effects on Correlated Log-Normal Random Variables. Advances in Mathematical Physics،Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1123281
Modern Language Association (MLA)
Ma, Yong-Ki. Stochastic Volatility Effects on Correlated Log-Normal Random Variables. Advances in Mathematical Physics No. 2017 (2017), pp.1-7.
https://search.emarefa.net/detail/BIM-1123281
American Medical Association (AMA)
Ma, Yong-Ki. Stochastic Volatility Effects on Correlated Log-Normal Random Variables. Advances in Mathematical Physics. 2017. Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1123281
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1123281