Stochastic volatility effects on correlated log-normal random variables

DOI10.1155/2017/7150203zbMath1404.62143OpenAlexW2778231454MaRDI QIDQ1798473

Yong-Ki Ma

Publication date: 23 October 2018

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

Full work available at URL: https://doi.org/10.1155/2017/7150203

zbMATH Keywords

clusteringstochastic volatilitylog-normal random variables

Mathematics Subject Classification ID

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

Related Items (1)

Correlated log-normal random variables under a multiscale volatility model

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