Rasmusson, Lars (2002) Evaluating the CDF for m weighted sums of n correlated lognormal random variables. [SICS Report]
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.
|Item Type:||SICS Report|
|Uncontrolled Keywords:||Lognormal Distribution, Multi-variate Random Variables, Monte Carlo Simulation|
|Deposited By:||Vicki Carleson|
|Deposited On:||29 Oct 2007|
|Last Modified:||18 Nov 2009 16:03|
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