Efficient simulation of tail probabilities of sums of correlated lognormals

Søren Asmussen, Jose H. Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa. Efficient simulation of tail probabilities of sums of correlated lognormals. Annals OR, 189(1):5-23, 2011. [doi]

Abstract

Abstract is missing.