The sum and difference of two lognormal random variables

DOI10.1155/2012/838397MaRDI QIDQ1760859zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Chi-Fai Lo

Publication date 15 November 2012

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/838397

zbMATH Keywords

analytical series expansioncorrelated lognormal stochastic variablesLie-Trotter operator splitting methodsum and difference

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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Cites work

• scientific article; zbMATH DE number 193078 (Why is no real title available?)
• A Fourier transform method for spread option pricing
• Asymptotic behavior of tail density for sum of correlated lognormal variables
• Bounds for a sum of random variables under a mixture of normals
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• On the Product of Semi-Groups of Operators
• Pricing and Hedging Spread Options
• The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
• The Logarithm of the Sum of Two Correlated Log-Normal Variates
• The concept of comonotonicity in actuarial science and finance: theory.
• The log-normal approximation in financial and other computations

Cited in

(10)

• Probabilistic modeling and analysis of DNA fragmentation
• Tail behavior of sums and differences of log-normal random variables
• Expanding the prediction capacity in long sequence time-series forecasting
• The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
• The Logarithm of the Sum of Two Correlated Log-Normal Variates
• Distribution of correlated lognormal random sum
• Asymptotic behavior of tail density for sum of correlated lognormal variables
• Stochastic volatility effects on correlated log-normal random variables
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
• Correlated log-normal random variables under a multiscale volatility model

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