"Efficient simulation of tail probabilities of sums of correlated lognormals."

Søren Asmussen et al. (2011)

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DOI: 10.1007/S10479-009-0658-5

access: closed

type: Journal Article

metadata version: 2022-04-29

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Søren Asmussen, Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa:
Efficient simulation of tail probabilities of sums of correlated lognormals. Ann. Oper. Res. 189(1): 5-23 (2011)

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