Tuesday, 26 June 2007

reference request - Sum of Log Normal random variables

Hi,



Here are the most intersting reference I could find



I post them because I think other people might be intereted in this issue,
so here are the articles titles :



Asmussen, Rojas-Nandayapa - Sums of Dependent lognormal Random Variables, Asymptotics and Simulation



Vanduffel, Chen, Dhaene, Goovaerts, Henrard - Optimal Approximations for Risk Measures of Sums of Lognormals based on Conditional Expectations



Li - A Novel Accurate Approximation Method of Lognormal Sum Random Variables



Gao, Xu, Ye- Asymptotic Behavior of Tail Density for Sum of Correlated Lognormal Variables



Mehta, Molisch, Wu, Zhang - Approximating the Sum of Correlated Lognormal or Lognormal-Rice Random Variables



Fu, Madan, Wang - Pricing Continuous Asian Options, A Comparison of Monte Carlo and Laplace Transform Inversion Methods



Vecer - New Pricing of Asian Options



And a few other articles not directly applicable to this problem but interesting on their own :



Eden, Viens - General Upper and Lower Tail Estimates using Malliavin Calculus and Stein's Equations



Barndorf-Nielsen, Kluppelberg - Tail Exactness of Multivariate Saddlepoint Approximations



Have a nice day

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