The Fenton Distribution Solved
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Summary
We consider $S = \sum_{i=1}^n w_i e^{Y_i}$ with $Y \sim N(\mu,\Sigma)$, the central object in the “Fenton distribution” problem.
Length
9,665 words
Claims
13 theorems
Status
Journal Draft
Target
Mathematical Finance / Annals of Applied Probability