Authors: Yuri Heymann
The motivation of this study is to investigate new methods for the calculation of the moment-generating function of the lognormal distribution. Taylor expansion method on the moments of the lognormal suffers from divergence issues, saddle-point approximation is not exact, and integration methods can be complicated. In the present paper we introduce a new probability measure that we refer to as the star probability measure as an alternative approach to compute the moment-generating function of normal variate functionals such as the lognormal distribution.
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