Approximating the Laplace transform of the sum of dependent lognormals
From MaRDI portal
Publication:5197405
DOI10.1017/apr.2016.50zbMath1426.60021arXiv1507.03750OpenAlexW2964110409MaRDI QIDQ5197405
Jens Ledet Jensen, Leonardo Rojas-Nandayapa, Patrick J. Laub, Soren Asmussen
Publication date: 23 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.03750
asymptoticssaddlepoint approximationimportance samplinglognormal distributionquasi-Monte CarloLambert W functionnumerical Laplace-transform inversion
Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Laplace transform (44A10)
Related Items
Monte Carlo estimation of the density of the sum of dependent random variables ⋮ Approximating the Laplace transform of the sum of dependent lognormals ⋮ Fast and accurate computation of the distribution of sums of dependent log-normals ⋮ On the Laplace transform of the lognormal distribution: analytic continuation and series approximations ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the Laplace transform of the lognormal distribution
- Asymptotics of sums of lognormal random variables with Gaussian copula
- Asymptotic behavior of tail density for sum of correlated lognormal variables
- On the Lambert \(w\) function
- Stochastic simulation: Algorithms and analysis
- Exponential Family Techniques for the Lognormal Left Tail
- A Unified Framework for Numerically Inverting Laplace Transforms
- Power Algorithms for Inverting Laplace Transforms
- On the Distribution Function and Moments of Power Sums With Log-Normal Components
- The log-normal approximation in financial and other computations
- Approximating the Laplace transform of the sum of dependent lognormals
- Tail behavior of sums and differences of log-normal random variables