Evaluating the CDF for m weighted sums of n correlated lognormal random variables

Lars Rasmusson

No 80, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Lognormal variables; Monte Carlo methods; numerical integration; option pricing; exotic options; automated trading; combinatorial auctions. (search for similar items in EconPapers)
JEL-codes: C15 C63 (search for similar items in EconPapers)
Date: 2002-07-01
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