Weighted Sum of Correlated Lognormals: Convolution Integral Solution


Autoria(s): Nagy, Tamás
Data(s)

17/01/2011

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