most citedAccurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model

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stat.CO2017★ 3 cited

Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model

Zdravko Botev, Robert Salomone, Daniel MacKinlay

We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…