Distribution of the Difference Between Two Log-Normal Variables
Document ID: 1999-303 (previously 1999/021)
Published on: 30th June 1999
Author: Phil Mowbray
This note presents a summary of the Gauss-Hermite quadrature procedure for evaluating the difference of two lognormally distributed random variables analytically and verifies the results by comparing with simulation-based results. It also shows that the quadrature-based result is not much more accurate than assuming the difference between two lognormally distributed random variables is normally distributed.
