Tail behavior of sums and differences of log-normal random variables

DOI10.3150/14-BEJ665zbMath1344.60036arXiv1309.3057MaRDI QIDQ5963508

Archil Gulisashvili, Peter Tankov

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.3057

zbMATH Keywords

importance samplingtail behaviorMonte Carlo methodrisk managementLaplace's methodmultidimensional Black-Scholes modelmultidimensional log-normal distributionstress testing

Mathematics Subject Classification ID

Related Items (16)

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