{"paper":{"title":"Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"stat.CO","authors_text":"Daniel MacKinlay, Robert Salomone, Zdravko Botev","submitted_at":"2017-05-09T06:22:27Z","abstract_excerpt":"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 unbiased estimators for three distributional quantities of significant interest in finance and risk management: the left tail, or cumulative distribution function, the probability density function, and the right tail, or complementary distribution function of the sum of dependent log-normal factors. In all of these three cases our methodology delivers fast and highly accurate estimators in settings for which existin"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1705.03196","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}