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Conditional Monte Carlo
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Large deviations
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Log-normal distribution
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Logarithmic efficiency
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Lognormal
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Botev, Zdravko I.
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Mackinlay, Daniel
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Annals of operations research ; volume 280, numbers 1/2 (September 2019)
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Fast and accurate computation of the distribution of sums of dependent log-normals
Botev, Zdravko I.
;
Salomone, Robert
;
Mackinlay, Daniel
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2019
Persistent link: https://www.econbiz.de/10012116201
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