Exact probability distribution function for the volatility of cumulative production

DOI10.1016/J.PHYSA.2017.12.003MaRDI QIDQ2150153zbMATH OpenOpenAlexFDO

Authors Rubina Zadourian, Andreas Klümper

Publication date 27 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.02605

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Corrigendum: Linear models of economic survival under production uncertainty
• Discrete sums of geometric Brownian motions, annuities and Asian options
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Sums of exponentials of random walks with drift
• Theory of Financial Risk and Derivative Pricing

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