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  • Search: subject:"lognormal variables"
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Year of publication
Subject
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Lognormal variables 1 Monte Carlo methods 1 automated trading 1 combinatorial auctions 1 comonotonicity 1 exotic options 1 lognormal variables 1 lower bounds 1 numerical integration 1 optimal portfolios 1 option pricing 1 risk measures 1
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Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
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Bosch-Princep, M. 1 Dhaene, J. 1 Marin-Solano, J. 1 Rasmusson, Lars 1 Ribas, C. 1 Roch, O. 1 Vanduffel, S. 1
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Institution
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Facultat d'Economia i Empresa, Universitat de Barcelona 1 Society for Computational Economics - SCE 1
Published in...
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Computing in Economics and Finance 2002 1 Working Papers in Economics 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Buy-and-Hold Strategies and Comonotonic Approximations
Marin-Solano, J.; Roch, O.; Dhaene, J.; Ribas, C.; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2009
We investigate optimal buy-and-hold strategies for terminal wealth problems in a multi-period framework. As terminal wealth is a sum of dependent random variables, each of these variables corresponding to an amount of capital that has been invested in a particular asset at a particular date, we...
Persistent link: https://www.econbiz.de/10005022327
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Evaluating the CDF for m weighted sums of n correlated lognormal random variables
Rasmusson, Lars - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706596
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