Fast and accurate computation of the distribution of sums of dependent log-normals
Zdravko I. Botev, Robert Salomone, Daniel Mackinlay
| Year of publication: |
2019
|
|---|---|
| Authors: | Botev, Zdravko I. ; Salomone, Robert ; Mackinlay, Daniel |
| Published in: |
Annals of operations research ; volume 280, numbers 1/2 (September 2019). - New York, NY, USA : Springer. - 2019, p. 19-46
|
| Subject: | Log-normal distribution | Lognormal | Rare-event simulation | Logarithmic efficiency | Large deviations | Conditional Monte Carlo | Quasi Monte Carlo | Second-order efficiency | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Simulation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-019-03161-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116201