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Evaluating the CDF for m weighted sums of n correlated lognormal random variables
Number of Authors: 1
2002 (English)Report (Refereed)
Abstract [en]

We show that one can evaluate the cumulative probability density function m weighted sums of n correlated lognormal variables with Monte Carlo simulation rapidly, by deriving its joint probability density function. The adaptive Monte Carlo method allows us to estimate the number of rounds required to achieve a given tolerance. The need for evaluating this function rapidly occurs in many applications, for instance for pricing combinatorial options for bandwidth markets.

Place, publisher, year, edition, pages
Swedish Institute of Computer Science , 2002, 1. , 12 p.
Series
SICS Technical Report, ISSN 1100-3154 ; 2002:01
Keyword [en]
Lognormal Distribution, Multi-variate Random Variables, Monte Carlo Simulation
National Category
Computer and Information Science
Identifiers
URN: urn:nbn:se:ri:diva-21978OAI: oai:DiVA.org:ri-21978DiVA: diva2:1041520
Available from: 2016-10-31 Created: 2016-10-31

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Computer and Information Science

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