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The Lognormal Characteristic Function in Several Dimensions, with Application to Asian Options

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Document pages: 13 pages

Abstract: Many attempts have been madeto derive a simple expression for the characteristic function of the lognormaldistribution. This would be useful for computing the sum of lognormalvariables, either with each other, or with other statistical variables. In thispaper, we provide a simpleformula for the characteristic function, which is exact, closed and computable.An extension to the sum of correlated lognormals,used in the pricing of Asian options, is a consequence of this approach.

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