Asymptotic behavior of tail density for sum of correlated lognormal variables

DOI10.1155/2009/630857zbMath1177.60015OpenAlexW2038999542WikidataQ21342753 ScholiaQ21342753MaRDI QIDQ1035169

Hong Xu, Xin Gao, Dong Ye

Publication date: 10 November 2009

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/45733

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Limit theorems in probability theory (60F99)

Related Items (7)

Implied Volatility of Basket Options at Extreme Strikes ⋮ The sum and difference of two lognormal random variables ⋮ Approximating the Laplace transform of the sum of dependent lognormals ⋮ Tail behavior of sums and differences of log-normal random variables ⋮ On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise ⋮ Discrete sums of geometric Brownian motions, annuities and Asian options ⋮ Patient observers and non-perturbative infrared dynamics in inflation

Cites Work

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• Stochastic Analysis of Turbo Decoding
• On the Distribution Function and Moments of Power Sums With Log-Normal Components
• Densities with Gaussian Tails
• Bounds on the distribution of a sum of independent lognormal random variables
• The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
• Tail of the distribution of sums of log-normal variates
• The Logarithm of the Sum of Two Correlated Log-Normal Variates

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