Evaluating the CDF for m weighted sums of n correlated lognormal random variables
| Year of publication: |
2002-07-01
|
|---|---|
| Authors: | Rasmusson, Lars |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Lognormal variables | Monte Carlo methods | numerical integration | option pricing | exotic options | automated trading | combinatorial auctions |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 80 |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
| Source: |
Persistent link: https://www.econbiz.de/10005706596