Sums of Lognormals
نویسنده
چکیده
Finance: In financial mathematics, the most popular model for a stock’s price is the lognormal distribution: if P is the stock price, then log P has a normal distribution. Suppose there are two such stock prices, P1 and P2, and that they both have a lognormal distribution. What is the probability that the sum of the prices will be greater than y? Making the simplifying assumption that the stocks are stochastically independent, then this probability is (for y > 0):
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تاریخ انتشار 2008