A note on the distribution of the product of zero‐mean correlated normal random variables

DOI10.1111/stan.12152arXiv1807.03981OpenAlexW2963548618WikidataQ129458778 ScholiaQ129458778MaRDI QIDQ6187974

Robert E. Gaunt

Publication date: 16 January 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.03981

zbMATH Keywords

probability density functionvariance-gamma distributionproduct of correlated normal random variables

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Distribution theory (60Exx) Statistical distribution theory (62Exx)

Related Items (4)

Stein’s method and the distribution of the product of zero mean correlated normal random variables ⋮ On the distribution-tail behaviour of the product of normal random variables ⋮ The variance-gamma ratio distribution ⋮ Identifying the distribution of linear combinations of gamma random variables via Stein’s method

Cites Work

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• On the distribution of the product of correlated normal random variables
• Variance-gamma approximation via Stein's method
• OPTION PRICING WITH VG–LIKE MODELS

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