Pages that link to "Item:Q4662236"

The following pages link to The log-normal approximation in financial and other computations (Q4662236):

Displaying 32 items.

• A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289) (← links)
• Optimal portfolio selection for general provisioning and terminal wealth problems (Q661214) (← links)
• On the growth rate of a linear stochastic recursion with Markovian dependence (Q887092) (← links)
• Quantifying the error of convex order bounds for truncated first moments (Q939362) (← links)
• On the efficient simulation of the left-tail of the sum of correlated log-normal variates (Q1637513) (← links)
• Risk aggregation in Solvency II through recursive log-normals (Q1681181) (← links)
• The sum and difference of two lognormal random variables (Q1760859) (← links)
• Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance (Q1936466) (← links)
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682) (← links)
• Asian options with zero cost-of-carry: EEX options on freight and iron ore futures (Q2044818) (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
• On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
• Fast and accurate computation of the distribution of sums of dependent log-normals (Q2288871) (← links)
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection (Q2431357) (← links)
• A comonotonicity-based valuation method for guaranteed annuity options (Q2448346) (← links)
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates (Q2463567) (← links)
• Discrete sums of geometric Brownian motions, annuities and Asian options (Q2520429) (← links)
• Penultimate gamma approximation in the CLT for skewed distributions (Q2786495) (← links)
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach (Q2812013) (← links)
• Exponential Family Techniques for the Lognormal Left Tail (Q2821479) (← links)
• Two stock options at the races: Black–Scholes forecasts (Q2873553) (← links)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (Q3010444) (← links)
• The Hartman-Watson Distribution Revisited: Asymptotics for Pricing Asian Options (Q3094703) (← links)
• Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales (Q3516424) (← links)
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options (Q4660529) (← links)
• RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT (Q4906529) (← links)
• The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion (Q4918578) (← links)
• Approximating the Laplace transform of the sum of dependent lognormals (Q5197405) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• Fitting combinations of exponentials to probability distributions (Q5430334) (← links)
• Expanding the prediction capacity in long sequence time-series forecasting (Q6161473) (← links)