Fast and accurate computation of the distribution of sums of dependent log-normals (Q2288871)
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scientific article
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| English | Fast and accurate computation of the distribution of sums of dependent log-normals |
scientific article |
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Fast and accurate computation of the distribution of sums of dependent log-normals (English)
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20 January 2020
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log-normal distribution
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lognormal
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rare-event simulation
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logarithmic efficiency
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large deviations
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conditional Monte Carlo
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quasi Monte Carlo
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second-order efficiency
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0.8030576109886169
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0.7939391136169434
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0.7895528674125671
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0.7891040444374084
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0.7883591651916504
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