The sum and difference of two lognormal random variables

DOI10.1155/2012/838397zbMath1260.60018OpenAlexW3122002512WikidataQ58907442 ScholiaQ58907442MaRDI QIDQ1760859

Chi-Fai Lo

Publication date: 15 November 2012

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

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

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• Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
• On the Product of Semi-Groups of Operators
• A Fourier Transform Method for Spread Option Pricing
• Pricing and Hedging Spread Options
• The log-normal approximation in financial and other computations
• The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
• The Logarithm of the Sum of Two Correlated Log-Normal Variates

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