Fast and accurate computation of the distribution of sums of dependent log-normals
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DOI: 10.1007/s10479-019-03161-x
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- Kemal Dinçer Dingeç & Wolfgang Hörmann, 2022. "Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2093-2121, September.
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Keywords
Log-normal distribution; Lognormal; Rare-event simulation; Logarithmic efficiency; Large deviations; Conditional Monte Carlo; Quasi Monte Carlo; Second-order efficiency;All these keywords.
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