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The aim is to evaluate a novel method for approximating cumulative distribution functions of correlated lognormal sums.

July 21, 2026Open Access

Deterministic Log-CF Evaluation for Correlated Lognormal Sums

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The aim is to evaluate a novel method for approximating cumulative distribution functions of correlated lognormal sums.
Implemented Hermite-chaos expansion for lognormal sums using Gaussian variables.
Developed an evaluator with Gauss-Hermite order and finite log-domain precision.
Assessed numerical conditioning and accuracy in specific high-volatility scenarios.
The new method provides a more stable alternative to moment-based evaluations.
Achieved a convergent characteristic function through the Hermite-chaos basis.
Highlighted the necessity of rigorous parameter selection and convergence guarantees.

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This draft evaluates a new method to approximate correlated lognormal sums' CDF in financial models, suggesting its practicality.

Tamás Nagy (2026) studied this question.

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