covar of lognormal variables

Assume X ~ N(µxx), Y ~ N(µyy), corre(X,Y) = ρ

then 

1) E(eXeY) = exp{µx +1/2σ2x  Y +1/2σY2+ρσxσy}

2) cov(eX, eY) = exp{µ+1/2σ2x  Y +1/2σY2}(exp{ρσxσy}-1)

posted @ 2013-10-28 22:42  LevyFan  阅读(147)  评论(0编辑  收藏  举报