| Tartalom: |
http://unipub.lib.uni-corvinus.hu/228/ |
| Archívum: |
Corvinus Kutatások |
| Gyűjtemény: |
Status = Submitted
Subject = Finance
Subject = Mathematics, Econometrics
Type = Monograph
|
| Cím: |
Weighted Sum of Correlated Lognormals: Convolution Integral Solution
|
| Létrehozó: |
Nagy, Tamás
|
| Kiadó: |
BCE
|
| Dátum: |
2011-01-17
|
| Téma: |
Mathematics, Econometrics
Finance
|
| Tartalmi leírás: |
Probability density function (pdf) for sum of n
correlated lognormal variables is deducted as a special
convolution integral. Pdf for weighted sums (where weights can
be any real numbers) is also presented. The result for four
dimensions was checked by Monte Carlo simulation.
|
| Típus: |
Monograph
NonPeerReviewed
|
| Formátum: |
application/pdf
|
| Azonosító: |
Nagy, Tamás (2011) Weighted Sum of Correlated Lognormals: Convolution Integral Solution. Working Paper. BCE. (Submitted)
|
| Kapcsolat: |
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