Tail behavior of sums and differences of log-normal random variables
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Publication:5963508
DOI10.3150/14-BEJ665zbMath1344.60036arXiv1309.3057MaRDI QIDQ5963508
Archil Gulisashvili, Peter Tankov
Publication date: 22 February 2016
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.3057
importance samplingtail behaviorMonte Carlo methodrisk managementLaplace's methodmultidimensional Black-Scholes modelmultidimensional log-normal distributionstress testing
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