The Characteristic Function of a Lognormal Process Derived Using the Saddle Point Method
نویسنده
چکیده
The characteristic function (chf) of a lognormal process is derived using saddle point method . Relations are established between the polar coordinates of the saddle point and variance and mean parameters. The characteristic function and cumulants are then decomposed into a primary and a secondary component. The sum rules for the variance and means of a sum of lognormals and the computation of the estimates of the local variance and mean parameters for lognormal sum are discussed.
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