Weighted Sum of Correlated Lognormals: Convolution Integral Solution
Data(s) |
17/01/2011
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Resumo |
Probability density function (pdf) for sum of n correlated lognormal variables is deducted as a special convolution integral. Pdf for weighted sums (where weights can be any real numbers) is also presented. The result for four dimensions was checked by Monte Carlo simulation. |
Formato |
application/pdf |
Identificador |
http://unipub.lib.uni-corvinus.hu/228/1/TamasNagy_wSCLN_submitted_caution.pdf Nagy, Tamás (2011) Weighted Sum of Correlated Lognormals: Convolution Integral Solution. Working Paper. BCE. (Submitted) |
Publicador |
BCE |
Relação |
http://unipub.lib.uni-corvinus.hu/228/ |
Palavras-Chave | #Mathematics, Econometrics #Finance |
Tipo |
Monograph NonPeerReviewed |