Lognormal distribution, Mathematics

Assignment Help:

The Lognormal Distribution

If ln(X) is a normally distributed random variable, then X is said to be a lognormal variable.

If P1, P2, P3, ... are the prices of a scrip in periods 1, 2, 3, ..., some applications in finance require ln (P2/P1), ln (P3/P2),... to be normally distributed, that is, continuously compounded returns are required to be normal. This property is described as “Stock Prices are Lognormal”.

REMARK

The previous random variables arose out of natural experiments. The following distributions are derived distributions. That is, it is a function of other distributions. We require the following two distributions in Testing of Hypothesis. and our presentation will be restricted by our requirements. 


Related Discussions:- Lognormal distribution

Impediments in time series analysis, Impediments in time series analysis ...

Impediments in time series analysis Accuracy of data in reflecting a) Drastic changes for illustration in the advent of a major competitor, period of war or unexpected chan

Law of Iterative Expectation, #quesSuppose we have a stick of length L. We ...

#quesSuppose we have a stick of length L. We break it once at some point X ~ Unif(0;L). Then we break it again at some point Y ~ Unif(0;X). Use the law of iterated expectation to c

Solve the subsequent lp problem, Solve the subsequent LP problem graphicall...

Solve the subsequent LP problem graphically through enumerating the corner points. MAX:              3X1 + 4X2 Subject to:    X1   12                     X2    10

Describe adding and subtracting square roots, Describe Adding and Subtracti...

Describe Adding and Subtracting Square Roots? To add or subtract square roots, the radicands must be the same. If the radicands are the same, add/subtract the coefficients (the

Find var (3x+8) where x is a random variable, If Var(x) = 4, find Var (3x+8...

If Var(x) = 4, find Var (3x+8), where X is a random variable. Var (ax+b) = a 2 Var x Var (3x+8) = 3 2 Var x = 36

To calculate volume of cylinder which formula is used, Mimi is filling a te...

Mimi is filling a tennis ball can along with water. She wants to know the volume of the cylinder shaped can. Which formula will she use? The volume of a cylinder is π times the

Find out the roots of the quadratic equation, Find out the roots of the fol...

Find out the roots of the following quadratic equation. 3x 2 + 7x = 0 Solution: Using Equation 6, one root is determined. x = 0 Using Equation 7, substitute the

Which of the partially ordered sets are lattices, Which of the partially or...

Which of the partially ordered sets in figures (i), (ii) and (iii) are lattices? Justify your answer.   Ans: suppose (L, ≤) be a poset. If each subset {x, y} consisting

Constructions, Draw a line segment AB of length 4.4cm. Taking A as centre, ...

Draw a line segment AB of length 4.4cm. Taking A as centre, draw a circle of radius. 2cm and taking B as centre, draw another circle of radius 2.2cm. Construct tangents to each cir

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd